We incorporate terms-of-trade externality into a small open economy featuring an incomplete market, sterilized intervention, and capital controls as in Chang et al. (2015), and we highlight the central banks reaction to exchange rate movement. Our calibrated model using data from China shows...

This paper provides a comprehensive analysis of machine learning methods applied in short-term exchange rate forecast and portfolio evaluation. The models we used include: random forest, gradient boosting decision tree (GBDT) and extreme gradient boosting (XGBoost). We provide evidence that...