Taylor Rules and the Euro
使用实时数据，发现通胀和产出缺口或失业率等泰勒规则变量，能预测1999至2007年美元兑欧元汇率，尤其当美欧系数相同且不含利率平滑时。
This article uses real‐time data to show that inflation and either the output gap or unemployment, variables which normally enter central banks’ Taylor rules, can provide evidence of out‐of‐sample predictability for the U.S. dollar/euro exchange rate from 1999 to 2007. The strongest evidence is found for specifications that constrain the coefficients on inflation and real economic activity to be the same for the United States and the Euro Area, do not incorporate interest rate smoothing, and do not include the real exchange rate in the forecasting regression. Evidence of predictability is found with both one‐quarter‐ahead and longer‐horizon forecasts.