{"id":"https://openalex.org/W1601748972","doi":"https://doi.org/10.17016/ifdp.2009.963","title":"The Taylor Rule and Interval Forecast for Exchange Rates","display_name":"The Taylor Rule and Interval Forecast for Exchange Rates","publication_year":2009,"publication_date":"2009-01-01","ids":{"openalex":"https://openalex.org/W1601748972","doi":"https://doi.org/10.17016/ifdp.2009.963","mag":"1601748972"},"language":"en","primary_location":{"id":"doi:10.17016/ifdp.2009.963","doi":"https://doi.org/10.17016/ifdp.2009.963","is_oa":true,"landing_page_url":"https://doi.org/10.17016/ifdp.2009.963","pdf_url":null,"source":{"id":"https://openalex.org/S4210204989","display_name":"International Finance Discussion Paper","issn_l":"1073-2500","issn":["1073-2500","2767-4509"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"public-domain","license_id":"https://openalex.org/licenses/public-domain","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Finance Discussion Papers","raw_type":"journal-article"},"volume":null,"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://doi.org/10.17016/ifdp.2009.963","any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5100370342","display_name":"Jian Chen Wang","orcid":"https://orcid.org/0009-0009-1432-6021","observed_orcids":["https://orcid.org/0009-0009-1432-6021"]},"institutions":[{"id":"https://openalex.org/I1317239608","display_name":"Federal Reserve","ror":"https://ror.org/05fk5tr28","country_code":"US","type":"other","lineage":["https://openalex.org/I1317239608"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jian Wang","raw_affiliation_strings":["Federal Reserve System ,"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Federal Reserve System ,","institution_ids":["https://openalex.org/I1317239608"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5102396198","display_name":"Jason J. Wu","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I1317239608","display_name":"Federal Reserve","ror":"https://ror.org/05fk5tr28","country_code":"US","type":"other","lineage":["https://openalex.org/I1317239608"]},{"id":"https://openalex.org/I2802905149","display_name":"Federal Reserve Board of Governors","ror":"https://ror.org/00v448643","country_code":"US","type":"government","lineage":["https://openalex.org/I1317239608","https://openalex.org/I2802905149"]}],"countries":["US"],"is_corresponding":false,"raw_author_name":"Jason J. Wu","raw_affiliation_strings":["Board of Governors of the Federal Reserve System (U.S.)","Hong Kong Monetary Authority"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Board of Governors of the Federal Reserve System (U.S.)","institution_ids":["https://openalex.org/I1317239608","https://openalex.org/I2802905149"]},{"raw_affiliation_string":"Hong Kong Monetary Authority","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":3.2512,"has_fulltext":false,"cited_by_count":9,"citation_normalized_percentile":{"value":0.9327207,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":96},"biblio":{"volume":"2009.0","issue":"963","first_page":"1","last_page":"38"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.6610999703407288,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.6610999703407288,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11918","display_name":"Forecasting Techniques and Applications","score":0.3353999853134155,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.000699999975040555,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/taylor-rule","display_name":"Taylor rule","score":0.9760000109672546},{"id":"https://openalex.org/keywords/exchange-rate-forecasting","display_name":"exchange rate forecasting","score":0.9359999895095825},{"id":"https://openalex.org/keywords/prediction-intervals","display_name":"prediction intervals","score":0.8130000233650208},{"id":"https://openalex.org/keywords/out-of-sample-forecasting","display_name":"out-of-sample forecasting","score":0.7710000276565552},{"id":"https://openalex.org/keywords/meese-rogoff-puzzle","display_name":"Meese-Rogoff puzzle","score":0.8199999928474426},{"id":"https://openalex.org/keywords/random-walk-benchmark","display_name":"random walk benchmark","score":0.6899999976158142},{"id":"https://openalex.org/keywords/exchange-rate-fundamentals","display_name":"exchange rate fundamentals","score":0.574999988079071},{"id":"https://openalex.org/keywords/purchasing-power-parity","display_name":"purchasing power parity","score":0.7139999866485596},{"id":"https://openalex.org/keywords/monetary-policy-rules","display_name":"monetary policy rules","score":0.5979999899864197},{"id":"https://openalex.org/keywords/inflation-forecasting","display_name":"inflation forecasting","score":0.5720000267028809}],"concepts":[{"id":"https://openalex.org/C2778222704","wikidata":"https://www.wikidata.org/wiki/Q1898150","display_name":"Taylor rule","level":4,"score":0.8627289533615112},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6385859251022339},{"id":"https://openalex.org/C2776988154","wikidata":"https://www.wikidata.org/wiki/Q66100","display_name":"Exchange rate","level":2,"score":0.6232483386993408},{"id":"https://openalex.org/C121194460","wikidata":"https://www.wikidata.org/wiki/Q856741","display_name":"Random walk","level":2,"score":0.5698624849319458},{"id":"https://openalex.org/C2778067643","wikidata":"https://www.wikidata.org/wiki/Q166507","display_name":"Interval (graph theory)","level":2,"score":0.5544902682304382},{"id":"https://openalex.org/C200941418","wikidata":"https://www.wikidata.org/wiki/Q273508","display_name":"Inflation (cosmology)","level":2,"score":0.5543967485427856},{"id":"https://openalex.org/C2779343474","wikidata":"https://www.wikidata.org/wiki/Q3109175","display_name":"Context (archaeology)","level":2,"score":0.5312203168869019},{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.5221919417381287},{"id":"https://openalex.org/C120954023","wikidata":"https://www.wikidata.org/wiki/Q1127277","display_name":"Consensus forecast","level":2,"score":0.4349888265132904},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.40254485607147217},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.3014982342720032},{"id":"https://openalex.org/C126285488","wikidata":"https://www.wikidata.org/wiki/Q178476","display_name":"Monetary policy","level":2,"score":0.27998265624046326},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.27692288160324097},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.0},{"id":"https://openalex.org/C13280743","wikidata":"https://www.wikidata.org/wiki/Q131089","display_name":"Geodesy","level":1,"score":0.0},{"id":"https://openalex.org/C33332235","wikidata":"https://www.wikidata.org/wiki/Q18362","display_name":"Theoretical physics","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C114614502","wikidata":"https://www.wikidata.org/wiki/Q76592","display_name":"Combinatorics","level":1,"score":0.0},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.0},{"id":"https://openalex.org/C2992735868","wikidata":"https://www.wikidata.org/wiki/Q66344","display_name":"Central bank","level":3,"score":0.0},{"id":"https://openalex.org/C151730666","wikidata":"https://www.wikidata.org/wiki/Q7205","display_name":"Paleontology","level":1,"score":0.0},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.17016/ifdp.2009.963","doi":"https://doi.org/10.17016/ifdp.2009.963","is_oa":true,"landing_page_url":"https://doi.org/10.17016/ifdp.2009.963","pdf_url":null,"source":{"id":"https://openalex.org/S4210204989","display_name":"International Finance Discussion Paper","issn_l":"1073-2500","issn":["1073-2500","2767-4509"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"public-domain","license_id":"https://openalex.org/licenses/public-domain","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Finance Discussion Papers","raw_type":"journal-article"},{"id":"doi:10.17016/ifdp.2009.963r","doi":"https://doi.org/10.17016/ifdp.2009.963r","is_oa":true,"landing_page_url":"https://doi.org/10.17016/ifdp.2009.963r","pdf_url":null,"source":{"id":"https://openalex.org/S4210204989","display_name":"International Finance Discussion Paper","issn_l":"1073-2500","issn":["1073-2500","2767-4509"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"public-domain","license_id":"https://openalex.org/licenses/public-domain","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Finance Discussion Papers","raw_type":"journal-article"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.178.6838","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.178.6838","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.federalreserve.gov/pubs/ifdp/2009/963/ifdp963r.pdf","raw_type":"text"},{"id":"pmh:oai:CiteSeerX.psu:10.1.1.650.7491","doi":null,"is_oa":false,"landing_page_url":"http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.650.7491","pdf_url":null,"source":null,"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"http://www.federalreserve.gov/pubs/ifdp/2009/963/ifdp963.pdf","raw_type":"text"}],"best_oa_location":{"id":"doi:10.17016/ifdp.2009.963","doi":"https://doi.org/10.17016/ifdp.2009.963","is_oa":true,"landing_page_url":"https://doi.org/10.17016/ifdp.2009.963","pdf_url":null,"source":{"id":"https://openalex.org/S4210204989","display_name":"International Finance Discussion Paper","issn_l":"1073-2500","issn":["1073-2500","2767-4509"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core"],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":"public-domain","license_id":"https://openalex.org/licenses/public-domain","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"International Finance Discussion Papers","raw_type":"journal-article"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":45,"referenced_works":["https://openalex.org/W1481105534","https://openalex.org/W1499568062","https://openalex.org/W1502749303","https://openalex.org/W1572930125","https://openalex.org/W1579584814","https://openalex.org/W1588064737","https://openalex.org/W1684088702","https://openalex.org/W1881840910","https://openalex.org/W1935652809","https://openalex.org/W1970904011","https://openalex.org/W1977970167","https://openalex.org/W1981822914","https://openalex.org/W2012796138","https://openalex.org/W2027318326","https://openalex.org/W2063388882","https://openalex.org/W2077784031","https://openalex.org/W2088142361","https://openalex.org/W2103911250","https://openalex.org/W2117178635","https://openalex.org/W2120744642","https://openalex.org/W2125407925","https://openalex.org/W2135150595","https://openalex.org/W2136011338","https://openalex.org/W2139056740","https://openalex.org/W2148359781","https://openalex.org/W2150522001","https://openalex.org/W2161983963","https://openalex.org/W2165410407","https://openalex.org/W2889604377","https://openalex.org/W2890840156","https://openalex.org/W3023652150","https://openalex.org/W3121177220","https://openalex.org/W3121400478","https://openalex.org/W3121616071","https://openalex.org/W3121846725","https://openalex.org/W3121904436","https://openalex.org/W3122478216","https://openalex.org/W3123021517","https://openalex.org/W3124006124","https://openalex.org/W3124302126","https://openalex.org/W3124347368","https://openalex.org/W3124690764","https://openalex.org/W3125696988","https://openalex.org/W3149360705","https://openalex.org/W4291327732"],"related_works":["https://openalex.org/W4214818717","https://openalex.org/W7096872537","https://openalex.org/W3173428196","https://openalex.org/W7096600354","https://openalex.org/W7096057175","https://openalex.org/W3123670398","https://openalex.org/W2008154908","https://openalex.org/W2027318326","https://openalex.org/W2335965341","https://openalex.org/W7095096490"],"abstract_inverted_index":{"This":[0,105],"paper":[1,160],"attacks":[2],"the":[3,19,63,70,91,131,148,154,178],"Meese-Rogoff":[4],"(exchange":[5],"rate":[6,101],"disconnect)":[7],"puzzle":[8],"from":[9],"a":[10,36,116,168],"different":[11],"perspective:":[12],"out-of-sample":[13,99],"interval":[14,33,181],"forecasting.":[15],"Most":[16],"studies":[17],"in":[18,81,129,158,167,185],"literature":[20],"focus":[21],"on":[22],"point":[23],"forecasts.":[24],"In":[25],"this":[26,159,186],"paper,":[27],"we":[28,78],"apply":[29],"Robust":[30],"Semi-parametric":[31],"(RS)":[32],"forecasting":[34,130,182],"to":[35,61,144,177],"group":[37],"of":[38,54,65,133],"Taylor":[39,66,83,138],"rule":[40,67,84,139],"models.":[41,152],"Forecast":[42],"intervals":[43,89,97],"for":[44,161],"twelve":[45],"OECD":[46],"exchange":[47,100,119,134],"rates":[48,120],"are":[49,59],"generated":[50],"and":[51,56,69,121,150,180],"modified":[52],"tests":[53],"Giacomini":[55],"White":[57],"(2006)":[58],"conducted":[60],"compare":[62],"performance":[64],"models":[68,85,179],"random":[71,92],"walk.":[72],"Our":[73,113],"contribution":[74],"is":[75,107,141],"twofold.":[76],"First,":[77],"find":[79],"that":[80,95],"general,":[82],"generate":[86],"tighter":[87],"forecast":[88],"than":[90,147],"walk,":[93],"given":[94],"their":[96],"cover":[98],"realizations":[102],"equally":[103],"well.":[104],"result":[106],"more":[108],"pronounced":[109],"at":[110],"longer":[111],"horizons.":[112],"results":[114],"suggest":[115],"connection":[117],"between":[118],"economic":[122,124],"fundamentals:":[123],"variables":[125],"contain":[126],"information":[127],"useful":[128],"distributions":[132],"rates.":[135],"The":[136],"benchmark":[137],"model":[140],"also":[142],"found":[143],"perform":[145],"better":[146],"monetary":[149],"PPP":[151],"Second,":[153],"inference":[155],"framework":[156],"proposed":[157],"forecast-interval":[162],"evaluation,":[163],"can":[164],"be":[165],"applied":[166],"broader":[169],"context,":[170],"such":[171],"as":[172],"inflation":[173],"forecasting,":[174],"not":[175],"just":[176],"methods":[183],"used":[184],"paper.":[187]},"counts_by_year":[{"year":2025,"cited_by_count":1},{"year":2018,"cited_by_count":2},{"year":2017,"cited_by_count":1},{"year":2015,"cited_by_count":1}],"updated_date":"2026-10-16T09:59:22.235173","created_date":"2016-06-24T00:00:00"}
