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".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.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.The .rpf files are RATS program files, written for use with RATS 9.2 for Windows (https://estima.com/ratsmain.shtml)