The Taylor Rule, Wealth Effects and the Exchange Rate
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http://dx.doi.org/10.1111/roie.12213 |
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Title
The Taylor Rule, Wealth Effects and the Exchange RateDate
2016Publisher
WileyISSN
1467-9396Bibliographic citation
Wang, R., Morley, B., & Ordóñez, J. (2016). The Taylor Rule, Wealth Effects and the Exchange Rate. Review of International Economics.Type
info:eu-repo/semantics/articlePublisher version
http://onlinelibrary.wiley.com/doi/10.1111/roie.12213/fullSubject
Abstract
In this study, we develop the Taylor rule and Taylor rule-based exchange rate models that consider wealth effects as represented by both asset prices and asset wealth. Using data for Australia, Sweden, the UK and the ... [+]
In this study, we develop the Taylor rule and Taylor rule-based exchange rate models that consider wealth effects as represented by both asset prices and asset wealth. Using data for Australia, Sweden, the UK and the USA, we find that effects of asset prices and wealth on the Taylor rule vary depending on the country and on the form that wealth takes. Out-of-sample forecasting capacities of the wealth-augmented Taylor rule model and Taylor rule-based exchange rate model outperform conventional models and random walk theories for these countries. [-]
Is part of
Review of International Economics, 2016, vol. 24, núm. 2Rights
© 2016 John Wiley & Sons Ltd
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This item appears in the folowing collection(s)
- IEI_Articles [116]
- ECO_Articles [692]