Taylor Rule Exchange Rate Forecasting During The Financial Crisis
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Taylor Rule Exchange Rate Forecasting During The Financial Crisis
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Author : Tanya Molodtsova
language : en
Publisher:
Release Date : 2012
Taylor Rule Exchange Rate Forecasting During The Financial Crisis written by Tanya Molodtsova and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Economics categories.
This paper evaluates out-of-sample exchange rate predictability of Taylor rule models, where the central bank sets the interest rate in response to inflation and either the output or the unemployment gap, for the euro/dollar exchange rate with real-time data before, during, and after the financial crisis of 2008-2009. While all Taylor rule specifications outperform the random walk with forecasts ending between 2007:Q1 and 2008:Q2, only the specification with both estimated coefficients and the unemployment gap consistently outperforms the random walk from 2007:Q1 through 2012:Q1. Several Taylor rule models that are augmented with credit spreads or financial condition indexes outperform the original Taylor rule models. The performance of the Taylor rule models is superior to the interest rate differentials, monetary, and purchasing power parity models.
Comment On Taylor Rule Exchange Rate Forecasting During The Financial Crisis
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Author : Michael W. McCracken
language : en
Publisher:
Release Date : 2012
Comment On Taylor Rule Exchange Rate Forecasting During The Financial Crisis written by Michael W. McCracken and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with categories.
Exchange Rate Predictability In A Changing World
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Author : Joseph P. Byrne
language : en
Publisher:
Release Date : 2014
Exchange Rate Predictability In A Changing World written by Joseph P. Byrne and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
Forecasting Exchange Rates Employing Technical And Fundamental Data Before And During The Financial Crisis
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Author : Gion Donat Piras
language : en
Publisher:
Release Date : 2014
Forecasting Exchange Rates Employing Technical And Fundamental Data Before And During The Financial Crisis written by Gion Donat Piras and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
It is a well known fact that a naive random walk generates better exchange rate forecasts than economic models. The exchange rate is episodically unstable and the switching nature is inconsistent with a linear representation. However, empirical evidence in favour of non-linear models such as regime switching models, neural networks or non-parametric ones is weak. The present paper adopts an econometric method, which incorporates dynamic model averaging (DMA) and selection (DMS). The DMA / DMS framework adds additionally layers of flexibility by allowing parameters as well as the entire forecasting model to evolve over time. In addition this paper takes a different approach by forecasting exchange rates at a daily frequency. Thereby financial data is used as a proxy for macro-economic fundamentals and technical indicators are included in the set of potential predictor variables. The paper shows strong empirical evidence in favour of the employed model in the period before the bankruptcy of Lehman Brothers. During the financial crisis predictability in terms of the mean squared forecast error breaks down. The time-varying evolution of fundamental and technical forecasts allows investigating the evolution of the influence of two types of agents (fundamentalists and chartists) believed to operate in the foreign exchange market.
Monetary Policy Rules
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Author : John B. Taylor
language : en
Publisher: University of Chicago Press
Release Date : 2007-12-01
Monetary Policy Rules written by John B. Taylor and has been published by University of Chicago Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007-12-01 with Business & Economics categories.
This timely volume presents the latest thinking on the monetary policy rules and seeks to determine just what types of rules and policy guidelines function best. A unique cooperative research effort that allowed contributors to evaluate different policy rules using their own specific approaches, this collection presents their striking findings on the potential response of interest rates to an array of variables, including alterations in the rates of inflation, unemployment, and exchange. Monetary Policy Rules illustrates that simple policy rules are more robust and more efficient than complex rules with multiple variables. A state-of-the-art appraisal of the fundamental issues facing the Federal Reserve Board and other central banks, Monetary Policy Rules is essential reading for economic analysts and policymakers alike.
Dissecting Taylor Rules In A Structural Var
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Author : Woon Gyu Choi
language : en
Publisher: International Monetary Fund
Release Date : 2010-01-01
Dissecting Taylor Rules In A Structural Var written by Woon Gyu Choi and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010-01-01 with Business & Economics categories.
This paper uncovers Taylor rules from estimated monetary policy reactions using a structural VAR on U.S. data from 1959 to 2009. These Taylor rules reveal the dynamic nature of policy responses to different structural shocks. We find that U.S. monetary policy has been far more responsive over time to demand shocks than to supply shocks, and more aggressive toward inflation than output growth. Our estimated dynamic policy coefficients characterize the style of policy as a "bang-bang" control for the pre-1979 period and as a gradual control for the post-1979 period.
Effectiveness Of Central Banks And Their Role In The Global Financial Crisis
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Author : Shamshad Akhtar
language : en
Publisher: Asian Development Bank
Release Date : 2009-12-01
Effectiveness Of Central Banks And Their Role In The Global Financial Crisis written by Shamshad Akhtar and has been published by Asian Development Bank this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-12-01 with Business & Economics categories.
This study examines the role and performance of central banks in low-income countries that have faced a range of domestic and external fragilities, aggravated by the global financial crisis that started in the United States and other advanced economies. It focuses on a select group of developing member countries of the Asian Development Bank in the Caucasus, Central Asia, and South Asia that have been and will continue to be vulnerable to adverse external developments.
Monetary Policy And The Housing Bubble
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Author :
language : en
Publisher: DIANE Publishing
Release Date :
Monetary Policy And The Housing Bubble written by and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on with categories.
An Empirical Assessment Of The Exchange Rate Pass Through In Mozambique
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Author : International Monetary Fund
language : en
Publisher: International Monetary Fund
Release Date : 2021-05-06
An Empirical Assessment Of The Exchange Rate Pass Through In Mozambique written by International Monetary Fund and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-05-06 with Business & Economics categories.
Determining the magnitude and speed of the exchange rate passthrough (ERPT) to inflation has been of paramount importance for policy-makers in developed and emerging economies. This paper estimates the exchange rate passthrough in Mozambique using econometric techniques on a sample spanning from 2001 to 2019. Results suggest that the ERPT is assymetric, sizable and fast, with 50 percent of the exchange rate variations passing through to prices in less than six months. Policy-makers should continue to pursue low and stable inflation and develop a strong track record of prudent macroeconomic policies for the ERPT to decline.
Fixed Or Flexible Exchange Rates History And Perspectives
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Author : Marin Muzhani
language : en
Publisher: Vernon Press
Release Date : 2018-05-15
Fixed Or Flexible Exchange Rates History And Perspectives written by Marin Muzhani and has been published by Vernon Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-05-15 with Business & Economics categories.
This book compares and contrasts flexible versus fixed exchange rate regimes. Beginning with their theoretical justifications, it showcases their observed advantages and disadvantages as they played out in the currency crises of the 1990s and early 2000s across Asia, Europe and Latin America. An analysis of the drivers and implications of these crises singles out fast-paced liberalization and globalization as having played central roles. Moreover it sheds light on some of the factors contributing to the 2008 financial crisis and the key monetary events in its aftermath. An accessible, yet rigorous discussion, supported by extensive evidence, helps readers reach their own conclusions regarding the respective merits of alternative exchange rate systems.