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    ASIA unversity > 管理學院 > 財務金融學系 > 期刊論文 >  Item 310904400/111376


    Please use this identifier to cite or link to this item: http://asiair.asia.edu.tw/ir/handle/310904400/111376


    Title: Exchange Rate Prediction using Monetary Policy Rules in Taiwan
    Authors: Chang, M.J.;Chang, Ming-Jen*;簡智崇;Chien, Chih-Chung
    Contributors: 財務金融學系
    Date: 2018-01
    Issue Date: 2018-08-20 09:52:26 (UTC+8)
    Abstract: This study examines exchange rate predictability based on different types of monetary policy rules in Taiwan. The out-of-sample exchange rate predictive accuracy is compared based on the Taylor rule fundamentals to a naïve random walk model. We find that both short-horizon and long-horizon out-of-sample exchange rate predictive power outperform the random walk process in many cases. The stronger evidence relates to the Taylor rule models with interest rate smoothing. The strongest evidence comes from the specifications which involve higher-order interest rate smoothing in the trade-weighted Taiwan Dollar rate. The findings are confirmed by the contemporaneous Taylor rules, the homogeneous coefficients, and the examinations of the nonlinear least squares approaches.

    Keywords: Exchange rate disconnect, monetary policy rule, out-of-sample prediction
    Relation: Asia-Pacific Journal of Accounting & Economics
    Appears in Collections:[財務金融學系] 期刊論文

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