Can panel data really improve the predictability of the monetary exchange rate model?

Article Abstract:

The study focused on the use of panel data tests to forecast future exchange rates. Employment of monetary models and Monte Carlo simulations, as well as presentation of different tables on forecasts of foreign exchange rates of countries, are presented.

Forecasts, trends, outlooks, Analysis, Usage, Economic aspects, Forecasts and trends, United States economic conditions, Market trend/market analysis, Monte Carlo method, Monte Carlo methods, Panel analysis, Economic development models, Report

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Term premia and the maturity composition of the federal debt: new evidence from the term structure of interest rates

Article Abstract:

Various models are tested to determine the relationship between term premia and federal debt composition ratios. The multiprocess mixture model allows for time variations and political structure shifts.

National debt, Public debts

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Modelling the frequency and severity of extreme exchange rate returns

Article Abstract:

Point processes and extreme value theory are combined for an exchange rate return model. Daily spot exchange rates and interest parameters are used to test the model.

Denmark, Prices and rates, Return on investment, Rate of return

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