MARC Record from Library of Congress

LEADER: 02402cam a22002897a 4500
001 2009656133
003 DLC
005 20090623095225.0
007 cr |||||||||||
008 090622s2009 dcu sb f000 0 eng
010 $a 2009656133
040 $aDLC$cDLC
050 00 $aHG3879
100 1 $aWang, Jian.
245 14 $aThe Taylor rule and forecast intervals for exchange rates$h[electronic resource] /$cJian Wang and Jason J. Wu.
260 $aWashington, D.C. :$bFederal Reserve Board,$c[2009]
490 1 $aInternational finance discussion papers ;$vno. 963
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file as viewed on 6/22/2009.
530 $aAlso available in print.
504 $aIncludes bibliographical references.
520 3 $a"This paper attacks the Meese-Rogoff puzzle from a different perspective: out-of-sample interval forecasting. Most studies in the literature focus on point forecasts. In this paper, we apply Robust Semiparametric (RS) interval forecasting to a group of Taylor rule models. Forecast intervals for twelve OECD exchange rates are generated and modified tests of Giacomini and White (2006) are conducted to compare the performance of Taylor rule models and the random walk. Our contribution is twofold. First, we find that in general, Taylor rule models generate tighter forecast intervals than the random walk, given that their intervals cover out-of-sample exchange rate realizations equally well. This result is more pronounced at longer horizons. Our results suggest a connection between exchange rates and economic fundamentals: economic variables contain information useful in forecasting the distributions of exchange rates. The benchmark Taylor rule model is also found to perform better than the monetary and PPP models. Second, the inference framework proposed in this paper for forecast-interval evaluation can be applied in a broader context, such as inflation forecasting, not just to the models and interval forecasting methods used in this paper"--Federal Reserve Board web site.
653 $aThe exchange rate disconnect puzzle;$aexchange rate forecast;$ainterval forecasting
700 1 $aWu, Jason J.
830 0 $aInternational finance discussion papers (Online) ;$vno. 963.
856 40 $uhttp://www.federalreserve.gov/pubs/ifdp/2009/963/default.htm