Forecasting has always been at the forefront of decision making and planning. The
uncertainty that surrounds the future is both exciting and challenging, with individuals and …

The main goal of this article is to provide an answer to the question: does anything forecast
exchange rates, and if so, which variables? It is well known that exchange rate fluctuations …

Abstract Here's why.(a) The Hodrick-Prescott (HP) filter introduces spurious dynamic
relations that have no basis in the underlying data-generating process.(b) Filtered values at …

Stock price direction prediction is an important issue in the financial world. Even small
improvements in predictive performance can be very profitable. The purpose of this paper is …

Cryptocurrencies, such as Bitcoin, have ignited intense discussions. Despite receiving
extensive public attention, theoretical understanding is limited regarding the value of …

This chapter surveys recent theoretical and empirical contributions on foreign exchange rate
determination. The chapter first examines monetary models under uncovered interest parity …

Much has been written by historians and sociologists as well as business commentators
about the modern economy—the kind that supplanted the traditional economy in several …

We show analytically that in a rational expectations present-value model, an asset price
manifests near–random walk behavior if fundamentals are I (1) and the factor for discounting …

Adding oil prices to the monetary model of exchange rates, we find that oil prices
significantly explain movements in the value of the US dollar (USD) against major currencies …

We explore the implications of a country's external constraint for the dynamics of net foreign
assets, returns, and exchange rates. Deteriorations in external accounts imply future trade …