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Can Taylor rule fundamentals predict the usd/nok exchange rate?

Aamodt, Maria Caroline Falla; Førde, Ingrid
Master thesis
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Master Preliminary.pdf (3.535Mb)
URI
http://hdl.handle.net/11250/2477115
Date
2017
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  • Master of Science [1116]
Abstract
The objective of this paper is to offer new insight to the exchange rate

literature by examining the predictability of the USD/NOK exchange rate.

Using Taylor rule fundamentals as a predictor, we examine exchange rate

predictability in the period from August 2001 to February 2015. We construct

32 models on the basis of Taylor rule, and compare their forecasting ability

with the random walk. Our results suggest that an asymmetric model with

interest rate smoothing, heterogeneous coefficients and a constant outperforms

the random walk.
Description
Masteroppgave(MSc) in Master of Science in Business, Economics - Handelshøyskolen BI, 2017
Publisher
BI Norwegian Business School

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