Data for Taylor Rule Exchange Rate Model with QE

The data relates to a study on the Taylor rule exchange rate model which incorporates the effects of alternative monetary policies such as QE and is related to the paper 'Taylor Rule Exchange Rate Models with Alternative Monetary Policies' by Rudan Wang and Bruce Morley. The aim is to determine if this model outperforms the random walk and other Taylor rule models and UIP in out of sample forecasting. Although it beats the random walk in all countries, it doesn't consistently outperform the forecasts from a UIP model. The data consists of quarterly time series from 1990 to 2019 for four countries: the UK, US, Japan and Eurozone. It comprises the standard Taylor rule variables, such as the interest rate, inflation rate and output gap, as well as the bilateral exchange rates and returns on government bonds. The real time output data was collected from the OECD Real-Time Data and Revisions Dataset and Real Time Dataset for the OECD – Dallas Fed. The inflation data is from the historical World Economic Outlook forecast database. The remaining data are drawn from the IMF’s International Financial Statistics and the FRED Economic research data base. Money market rates (or “call rate”, Central Bank of Japan) are used as a measure of the short-term interest rates that the central bank sets every time period. The interest rate on 10-year maturity bonds have been used as the long-term interest rates. The nominal exchange rate is defined as the U.S. dollar price of foreign currency and is taken as the end-of-month exchange rate

本数据集关联一项基于泰勒规则汇率模型（Taylor rule exchange rate model）的研究，该模型纳入了量化宽松（QE）等异质性货币政策的影响，同时关联Rudan Wang与Bruce Morley发表的论文《Taylor Rule Exchange Rate Models with Alternative Monetary Policies》。该研究的核心目标为验证该模型在样本外预测中是否优于随机游走（random walk）模型、其他泰勒规则模型以及无抛补利率平价（UIP，Uncovered Interest Parity）模型。尽管该模型在所有样本国家中均优于随机游走模型，但其表现并未始终优于无抛补利率平价模型的预测结果。本数据集包含1990年至2019年期间四个样本国家的季度时间序列数据，涵盖英国、美国、日本与欧元区。数据集包含泰勒规则的标准变量，包括利率、通货膨胀率与产出缺口，同时涵盖双边汇率与政府债券收益率。实时产出数据来源于经济合作与发展组织（OECD，Organisation for Economic Co-operation and Development）实时数据与修正数据集，以及经济合作与发展组织实时数据集——达拉斯联邦储备银行（Dallas Fed）。通货膨胀数据来源于历史版《世界经济展望（World Economic Outlook）》预测数据库。其余数据均取自国际货币基金组织（IMF，International Monetary Fund）的《国际金融统计》数据库，以及联邦储备经济研究数据库（FRED Economic Research Database）。以货币市场利率（日本央行采用“通知放款利率（call rate）”）作为各国央行每期设定的短期利率衡量指标。以10年期国债收益率作为长期利率的衡量指标。名义汇率定义为一单位外币对应的美元价格，数据采用月末汇率值。