Empirical research documents that an exogenous rise in government purchases in a given country triggers a depreciation of its real exchange rate. This raises an important puzzle, as standard macro-theories predict an appreciation of the real exchange rate. We argue that this prediction might reflect the conventional assumption that government purchases are unproductive. Using a simple frictionl...

This paper uses univariate and multivariate singular spectrum analysis for predicting the value and the direction of changes in the daily pound / dollar exchange rate. To perform the forecast, we also use the daily dollar exchange rates with respect to Euro and Japanese yen. We use the random walk model as a benchmark model to evaluate performances of the singular spectrum analysis as a predict...

Forecasting currency exchange rates are an important financial problem that is receiving increasing attention especially because of its intrinsic difficulty and practical applications. This paper presents improved neural network and fuzzy models used for exchange rate prediction. Several approaches including multi-layer perceprtons, radial basis functions, dynamic neural networks and neuro-fuzz...