Byrne, Joseph P.; Korobilis, Dimitris; Ribeiro, Pinho J. - Scottish Institute for Research in Economics (SIRE) - 2014
Crisis. This paper forecasts exchange rates using such Taylor rules with Time Varying Parameters (TVP) estimated by Bayesian … methods. In core out-of-sample results, we improve upon a random walk benchmark for at least half, and for as many as eight …