Forecasting the Taylor rule exchange rate model using directional change tests

Wang, Rudan; Morley, Bruce

doi:10.3934/qfe.2018.4.931

Cited by 7 publications

(4 citation statements)

References 22 publications

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“…The remaining data are drawn from the IMF's International Financial Statistics and the Federal Reserve Economic Data (FRED) economic research database. The data that supports the findings of this study are openly available in Mendeley at Wang and Morley (2021) (doi: 10.17632/6c2nbw23s8.1).…”

Section: Data and Resultssupporting

confidence: 83%

Forecasting the exchange rate with the Taylor rule model during times of alternative monetary policies

Wang

Morley

2023

Journal of Forecasting

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This study aims to incorporate the effects of recently used alternative monetary policies, such as quantitative easing into standard Taylor rule exchange rate models. Using out-of-sample forecasting, we determine whether including long-term government bond yields and shadow interest rates improves on these model's performance. Using data from the Eurozone, Japan, UK and USA, we perform out of sample forecasts using a rolling window, the results suggest that the model with government bond returns performs best against the random walk, although the results vary across countries, particularly when we compare the forecasts with those produced by a version of UIP.

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Section: Data and Resultssupporting

confidence: 83%

Forecasting the exchange rate with the Taylor rule model during times of alternative monetary policies

Wang

Morley

2023

Journal of Forecasting

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“…Exploring and understanding the variables that sway exchange rate volatility is a pivotal aspect of international finance. Knowing what influences exchange rates allows nations to anticipate shifts in these rates more accurately, thereby enabling them to craft economic policies that mitigate risks from exchange rate fluctuations and foster economic and trade growth [7] and [8]. Key elements impacting the RMB to USD exchange rate encompass differences in inflation rates, price levels of commodities, disparities in economic growth rates, and the status of foreign exchange reserves and the balance of payments [9].…”

Section: Factors Influencing and Forecasting Exchange Rate Volatilitymentioning

confidence: 99%

The Impact of U.S. Economic Policy Uncertainty on the RMB: U.S. Dollar Exchange Rate - Case of China-US Trade War

Xiao,

Xiao

2024

AEMPS

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On 6 July 2018, the United States began to impose 25% tariffs on $34 billion of Chinese goods. The trade war between China and the United States was officially launched. It lasted for more than a year, during which the two sides experienced six mutual tariff increases, which significantly impacted a few fields in China and the United States. This paper selects the RMB exchange rate to the US dollar as the research object; and takes the return of the RMB exchange rate as the data basis for modelling and analysis, intercepts its return data in the five years before and after the US-China trade war, taking the time when the United States imposed six additional tariffs on China as a dummy variable, and analyses the data by using the ARMA-GARCH model to study the impact of the RMB exchange rate by this trade war and to make predictions development of the RMB exchange rate, which will then make suggestions for China's economic.

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“…While the economic policy uncertainties have a significant impact at the prices of assets traded on a variety of markets, including futures, commodities, stocks, and insurance (Dong et al, 2019;Shahzad et al, 2017). However, academics investigate the factors that have an influence on the fluctuation of exchange rates in the field of international economics (Wang & Morley, 2018). On the other hand, there is a paucity of research regarding the effect of EPU on the volatility of currency rates (Beckmann & Czudaj, 2017;Sulehri & Ali, 2020).…”

Section: Figure 1 Pattern Of Exchange Rate and Economic Policy Uncert...mentioning

confidence: 99%

Effect of Economic Policy Uncertainty on Exchange Rate Volatility in Pakistan

Shair,

Ahmad,

Tayyab

et al. 2023

BBE

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This study examines the effect of economic policy uncertainty on Pakistan’s exchange rate. Pakistan’s exchange rate always remains under pressure due to the widening inflow-outflow gap in foreign exchange. The volatile exchange rates make it harder for businesses to invest and make inflation more uncertain, which ultimately slows down productivity and GDP growth. Due to the close linkages of the exchange rate with the economic indicators, it is required to examine the effect of different economic variables on the exchange rate and its volatility by incorporating the role of economic policy uncertainty. The study uses the sample of Jan 2011 to Dec 2022 for the empirical results. The study employs the EGARCH model for empirical results. The aftermaths of the mean equation of the EGARCH model suggest that economic policy uncertainty has a positive effect on Pakistan’s exchange rate. Moreover, an increase in the economic policy uncertainty scale, increases the volatility in Pakistan’s exchange rate. The primary source of exchange rate volatility is the nominal variable rather than the real variables. On the basis of the study’s findings, certain relevant recommendations were given in order to stabilize the foreign exchange market in Pakistan.

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Forecasting the Taylor rule exchange rate model using directional change tests

Cited by 7 publications

References 22 publications

Forecasting the exchange rate with the Taylor rule model during times of alternative monetary policies

Forecasting the exchange rate with the Taylor rule model during times of alternative monetary policies

The Impact of U.S. Economic Policy Uncertainty on the RMB: U.S. Dollar Exchange Rate - Case of China-US Trade War

Effect of Economic Policy Uncertainty on Exchange Rate Volatility in Pakistan

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