Do Nonlinear Monetary Policy Rules Outperform the Taylor Rule in Forecasting Exchange Rates?

• 발행기관: 고려대학교 미래성장연구원
• 저자명: Sookyung Park
• 간행물 정보: 『미래성장연구』제7권 1호, 3~19쪽, 전체 17쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2021.06.30

영문 초록

This study compares out-of-sample exchange rate predictability between nonlinear monetary policy rules and the linear rule. The nonlinear rules are derived under the circumstances of central banks’ asymmetric preferences or a nonlinear Phillips curve. The results show that the predictability of the five interest rate rule based models is related to the monetary policies operated by domestic and foreign central banks. For inflation targeting countries, the Taylor rule provides the best performance and its significant predictability occurs especially at the one-month horizon. For non-inflation targeting countries, on the other hand, monetary policy rule based models have significant longer-term predictability. In addition, the monetary policy model including interaction terms, for non-inflation targeting countries, has better predictive power than the Taylor rule.

목차

Ⅰ. Introduction

Ⅱ. Monetary Policy Rules for Exchange Rate Predictions

Ⅲ. Empirical Results

Ⅳ. Conclusion

키워드

Out-of-sample exchange rate predictability Asymmetric preferences Nonlinear monetary policy rule