Identifying Algeria’s de facto exchange rate regime: a wavelet-based approach

Exchange rate prediction: a wavelet-neural approach

The paper deals with the use of artificial neural networks (ANN) for predictions of economic time series. First, we revise the basic existing ANN architectures for time series forecasting and describe their application on CZK/EUR exchange rate prediction. Next, we introduce a hybrid version of the ANN that builds upon the same network strategy but tries to enhance the prediction accuracy by fir...

The Impact of Monetary Regime on the Exchange Rate Pass-Through under Exchange Rate Volatility (Dynamic Panel Data Approach)

Estimation of De Facto Flexibility Parameter and Basket Weights in Evolving Exchange Rate Regimes

A new technique for estimating countries’ de facto exchange rate regimes synthesizes two approaches. One approach estimates the implicit de facto basket weights in an ordinary least squares (OLS) regression of the local currency value rate against major currency values. Here the hypothesis is a basket peg with little flexibility. The second estimates the de facto degree of exchange rate flexibi...

Choosing an Exchange Rate Regime

1The sequence within intermediate regimes is somewhat arbitrary. For example, if the band is as narrow as 2 4 % as in the European Exchange Rate Mechanism or even 1% as under Bretton Woods, then it would properly belong closer to the fixed-rate end of the spectrum. Similarly, if the adjustable peg involved a devaluation or revaluation every time a moderate shock came along, it would properly be...

Wavelet Based Exchange Rate Forecasting with Improved Instance Based Learning

In this paper we present a novel wavelet based exchange rate forecast model integrating wavelet filters for denoising and Improved Instance Based Learning(IIBL) approach. The proposed model implements a novel technique that extends the nearest neighbor algorithm to include the concept of pattern matching so as to identify similar instances thus implementing a nonparametric regression approach.T...