Taylor Rules and the Euro

Journal of Money, Credit and Banking

Volumn 43, Issue 2-3, 2011, Pages 535-552

  Molodtsova, Tanya ^a   Nikolsko Rzhevskyy, Alex ^b   Papell, David H ^c  

^a EMORY UNIVERSITY   (United States)

^b UNIVERSITY OF MEMPHIS   (United States)

^c UNIVERSITY OF HOUSTON   (United States)

Author keywords

Euro dollar exchange rate; Out of sample exchange rate predictability; Taylor rules

Indexed keywords

EID: 79953022082     PISSN: 00222879     EISSN: 15384616     Source Type: Journal    
DOI: 10.1111/j.1538-4616.2011.00384.x     Document Type: Short Survey

References (30)

1. Bacchetta, Philippe, and Eric van Wincoop . (2010) "Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle. American Economic Review, 100, 870-904.
2. Blinder, Alan S., and Ricardo Reis . (2005) "Understanding the Greenspan Standard." In The Greenspan Era: Lessons for the Future, pp. 11-96. Kansas City: Federal Reserve Bank of Kansas City.
3. Boivin, Jean. (2006) "Has U.S. Monetary Policy Changed? Evidence from Drifting Coefficients and Real-Time Data. Journal of Money, Credit and Banking, 38, 1149-79.
4. Cheung, Yin-Wong, Menzie D. Chinn, and Antonio Garcia Pascual . (2005) "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive Journal of International Money and Finance, 24, 1150-75.
5. Clarida, Richard, Jordi Gali, and Mark Gertler . (1998) "Monetary Rules in Practice: Some International Evidence. European Economic Review, 42, 1033-67.
6. Clark, Todd E., and Michael W. McCracken . (2009) "Tests of Equal Predictive Ability with Real-Time Data. Journal of Business and Economic Statistics, 27, 441-54.
7. Clark, Todd, and Kenneth D. West . (2006) "Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis. Journal of Econometrics, 135, 155-86.
8. Clark, Todd, and Kenneth D. West . (2007) "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models. Journal of Econometrics, 138, 291-311.
9. Diebold, Francis, and Robert Mariano . (1995) "Comparing Predictive Accuracy. Journal of Business and Economic Statistics, 13, 253-63.
10. Engel, Charles, Nelson C. Mark, and Kenneth D. West . (2008) "Exchange Rate Models Are Not as Bad as You Think." In NBER Macroeconomics Annual 2007, edited by Daron Acemoglu, Kenneth Rogoff, and Michael Woodford, pp. 381-441. Chicago: University of Chicago Press.
11. Engel, Charles, Nelson C. Mark, and Kenneth D. West . (2009) "Factor Model Forecasts of Exchange Rates." Manuscript, University of Wisconsin.
12. Faust, Jon, John H. Rogers, and Jonathan H. Wright . (2003) "Exchange Rate Forecasting: The Errors We've Really Made. Journal of International Economics, 60, 35-59.
13. Gourinchas, Pierre-Olivier, and Aaron Tornell . (2004) "Exchange Rate Puzzles and Distorted Beliefs. Journal of International Economics, 64, 303-33.
14. Hansen, Peter. (2005) "A Test for Superior Predictive Ability. Journal of Business and Economic Statistics, 23, 365-80.
15. Hodrick, Robert. (1992) "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement. Review of Financial Studies, 5, 357-86.
16. Hubrich, Kirstin, and Kenneth D. West . (2010) "Forecast Comparisons for Small Nested Model Sets. Journal of Applied Econometrics, 25, 574-94.
17. Mark, Nelson. (1995) "Exchange Rate and Fundamentals: Evidence on Long-Horizon Predictability. American Economic Review, 85, 201-18.
18. McCracken, Michael. (2007) "Asymptotics for Out-of-Sample Tests of Granger Causality. Journal of Econometrics, 140, 719-52.
19. Meese, Richard A., and Kenneth Rogoff . (1983) "Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample Journal of International Economics, 14, 3-24.
20. Meyer, Laurence. (2009) "Dueling Taylor Rules." Monetary Policy Insights: Policy Focus, Macroeconomic Advisors, August 20.
21. Molodtsova, Tanya, Alex Nikolsko-Rzhevskyy, and David H. Papell . (2008) "Taylor Rules with Real-Time Data: A Tale of Two Countries and One Exchange Rate. Journal of Monetary Economics, 55, S63-S79.
22. Molodtsova, Tanya, and David H. Papell . (2009) "Exchange Rate Predictability with Taylor Rule Fundamentals. Journal of International Economics, 77, 167-80.
23. Orphanides, Athanasios. (2001) "Monetary Policy Rules Based on Real-Time Data. American Economic Review, 91, 964-85.
24. Orphanides, Athanasios. (2003) "Historical Monetary Policy Analysis and the Taylor Rule. Journal of Monetary Economics, 50, 983-1022.
25. Rogoff, Kenneth, and Vania Stavrakeva . (2008) "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting." NBER Working Paper No. 14071.
26. Rosenberg, Michael. (2010) "Financial Conditions Watch." Bloomberg, January 27.
27. Taylor, John B. (1993) "Discretion versus Policy Rules in Practice. Carnegie-Rochester Conference Series on Public Policy, 39, 195-214.
28. Wang, Jian, and Jason Wu . (2009) "The Taylor Rule and Forecast Intervals for Exchange Rates" Federal Reserve Bank of Dallas Globalization and Monetary Policy Institute Working Paper No. 22.
29. West, Kenneth D. (1996) "Asymptotic Inference about Predictive Ability. Econometrica, 64, 1067-84.
30. White, Halbert L. (2000) "A Reality Check for Data Snooping. Econometrica, 68, pp. 1097-127.