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".