Wang, Jian; Wu, Jason J. - Federal Reserve Bank of Dallas - 2008
-parametric (RS) interval forecasting to a group of Taylor rule models. Forecast intervals for twelve OECD exchange rates are … generated and modified tests of Giacomini and White (2006) are conducted to compare the performance of Taylor rule models and … the random walk. Our contribution is twofold.> ; First, we find that in general, Taylor rule models generate tighter …