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The Taylor Rule, Wealth Effects and the Exchange Rate
dc.contributor.author | Wang, Rudan | |
dc.contributor.author | Morley, Bruce | |
dc.contributor.author | Ordóñez, Javier | |
dc.date.accessioned | 2016-11-09T16:13:07Z | |
dc.date.available | 2016-11-09T16:13:07Z | |
dc.date.issued | 2016 | |
dc.identifier.citation | Wang, R., Morley, B., & Ordóñez, J. (2016). The Taylor Rule, Wealth Effects and the Exchange Rate. Review of International Economics. | ca_CA |
dc.identifier.issn | 1467-9396 | |
dc.identifier.uri | http://hdl.handle.net/10234/164346 | |
dc.description.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 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. | ca_CA |
dc.description.sponsorShip | Javier Ordóñez gratefully acknowledges financial support from the UJI project P1-1B2014-17, the Generalitat Valenciana project PROMETEOII/2014/053 and the Spanish Ministry of Economy and Competitiveness project ECO2014-58991-C3-2-R. We would like to thank three anonymous referees for their helpful comments and suggestions, the usual disclaimer applies. | ca_CA |
dc.format.extent | 20 p. | ca_CA |
dc.format.mimetype | application/pdf | ca_CA |
dc.language.iso | eng | ca_CA |
dc.publisher | Wiley | ca_CA |
dc.relation.isPartOf | Review of International Economics, 2016, vol. 24, núm. 2 | ca_CA |
dc.rights | © 2016 John Wiley & Sons Ltd | ca_CA |
dc.rights.uri | http://rightsstatements.org/vocab/InC/1.0/ | * |
dc.subject | Economic structure | ca_CA |
dc.subject | Exchange rate | ca_CA |
dc.subject | Model test | ca_CA |
dc.subject | Monetary policy | ca_CA |
dc.subject | Price dynamics | ca_CA |
dc.title | The Taylor Rule, Wealth Effects and the Exchange Rate | ca_CA |
dc.type | info:eu-repo/semantics/article | ca_CA |
dc.identifier.doi | http://dx.doi.org/10.1111/roie.12213 | |
dc.rights.accessRights | info:eu-repo/semantics/restrictedAccess | ca_CA |
dc.relation.publisherVersion | http://onlinelibrary.wiley.com/doi/10.1111/roie.12213/full | ca_CA |
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