Dataset for "Forecasting the Exchange Rate using Non-linear Taylor Rule Based Models"
This dataset contains a compilation of exchange rate data and also data for the Taylor rule for each country covering the UK, Sweden and Australia against the US dollar between 1979 and 2008. It is also for the estimation of the shadow interest rate for the UK and US. It is used with the included set of scripts for estimating a non-linear Taylor rule model for each exchange rate. Results arising from this dataset are published in the paper "Forecasting the Exchange Rate using Non-linear Taylor Rule Based Models".
Cite this dataset as:
Wang, R.,
Morley, B.,
Stamatogiannis, M.,
2018.
Dataset for "Forecasting the Exchange Rate using Non-linear Taylor Rule Based Models".
Bath: University of Bath Research Data Archive.
Available from: https://doi.org/10.15125/BATH-00551.
Export
Data
Copy of RATS_real … paper.xls
application/vnd.ms-excel (141kB)
Creative Commons: Attribution 4.0
MS Excel file with all the data for the Taylor rule estimation and forecasting.
Code
nonlinear estimation_USAUS.RPF
text/plain (7kB)
Software: MIT License
RATS Code for estimating the nonlinear model for the US/Australia exchange rate
nonlinear estimation_USSD.RPF
text/plain (7kB)
Software: MIT License
RATS Code for estimating the nonlinear model for the US/Sweden exchange rate
nonlinear estimation … (shadow).RPF
text/plain (7kB)
Software: MIT License
RATS Code for estimating the nonlinear model for the US/UK shadow exchange rate.
nonlinear estimation_USUK.RPF
text/plain (7kB)
Software: MIT License
RATS Code for estimating the nonlinear model for the US/UK exchange rate
Creators
Rudan Wang
Coventry University
Bruce Morley
University of Bath
Michalis Stamatogiannis
University of Liverpool
Contributors
University of Bath
Rights Holder
Coverage
Collection date(s):
From 2015 to 2018
Temporal coverage:
From 1979 to 2008
Geographical coverage:
UK, USA, Australia and Sweden
Documentation
Data collection method:
The data were selected based on the availability of the data over a sufficiently long time period, resulting in the UK, Australia and Sweden against the US dollar. This also represented a mix of countries with strong stock markets and housing markets.
Data processing and preparation activities:
The data were compiled into a single dataset for use and in a form relevant to the Taylor rule model of the exchange rate. All the data is taken secondary online sources.
Technical details and requirements:
The .rpf files are RATS program files, written for use with RATS 9.2 for Windows (https://estima.com/ratsmain.shtml).
Funders
University of Bath
https://doi.org/10.13039/501100000835
Publication details
Publication date: 28 December 2018
by: University of Bath
Version: 1
DOI: https://doi.org/10.15125/BATH-00551
URL for this record: https://researchdata.bath.ac.uk/id/eprint/551
Related papers and books
Wang, R., Morley, B., and Stamatogiannis, M. P., 2019. Forecasting the exchange rate using nonlinear Taylor rule based models. International Journal of Forecasting, 35(2), 429-442. Available from: https://doi.org/10.1016/j.ijforecast.2018.07.017.
Contact information
Please contact the Research Data Service in the first instance for all matters concerning this item.
Contact person: Bruce Morley
Faculty of Humanities & Social Sciences
Economics
