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Empirical Analysis of Taylor Rule Exchange Rate Forecasting on Emerging Currencies : 테일러 룰 환율 추정모델의 신흥시장 통화 환율 예측에 관한 실증적 분석
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- Authors
- Advisor
- 이영섭
- Issue Date
- 2021-02
- Publisher
- 서울대학교 대학원
- Keywords
- Exchange rate ; Out-of-sample predictability ; Taylor rule ; Time-series ; Random walk
- Description
- 학위논문 (석사) -- 서울대학교 대학원 : 국제대학원 국제학과(국제통상전공), 2021. 2. 이영섭.
- Abstract
- This paper extends the Taylor rule exchange rate forecasting by applying it to an emerging market currency, South Korean won, to fill the gap of thin existing literature of the Taylor rule forecasting model on emerging economies. A country to country research has been taken to prevent the assumption of homogeneity of emerging markets monetary policies. In-sample and out-of-sample predictions have been taken with three models on a quarterly basis: the random walk, time-series autoregression model, and the Taylor rule fundamental model. To test the prediction accuracy Diebold-Mariano statistics have been incorporated.
- Language
- eng
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