Extant models of exchange rate behavior have typically relied on statistical rather than economic considerations. The approach has been to employ a variant of the generalized central limit theorem to develop tests for the models proposed. ; We propose a minimal set of simple economic...

Pegging the renminbi (RMB) to the US dollar since 1994 has characterised China’s exchange rate policy, under either a fixed peg or appreciating crawling peg. The current policy, announced in June 2010, of ‘floating with reference to a basket’ has now in April 2015 made the RMB 19 per cent...

A nonparametric version of the Final Prediction Error (FPE) is proposed for lag selection in nonlinear autoregressive time series. We derive its consistency for both local constant and local linear estimators using a derived optimal bandwidth. Further asymptotic analysis suggests a greater...

We investigate the effects of both U.S. and Japanese news surprises, measured as the difference between macroeconomic announcements and preceding survey expectations, on the intraday JPY/USD exchange rate. No previous study has considered the intraday JPY/USD exchange rate responses to a broad...

No previous study has considered the intraday JPY/USD exchange rate responses to a broad set of comparable news surprises from both the U.S. and Japan. We attempt to fill this gap in the literature by investigating the effects of both U.S. and Japanese news surprises, measured as the difference...

Deep learning has substantially advanced the state-of-the-art in computer vision, natural language processing and other elds. The paper examines the potential of contemporary recurrent deep learning architectures for nancial time series forecasting. Considering the foreign exchange market as...

Deep learning has substantially advanced the state of the art in computer vision, natural language processing, and other fields. The paper examines the potential of deep learning for exchange rate forecasting. We systematically compare long short- term memory networks and gated recurrent units...

Pegging the renminbi (RMB) to the US dollar since 1994 has characterised China’s exchange rate policy, under either a fixed peg or appreciating crawling peg. The current policy, announced in June 2010, of 'floating with reference to a basket' has now in April 2015 made the RMB 19 per cent...

The markets for foreign exchange, energy and residential housing have all been strongly affected by the deregulation and expansion of the financial sector. As a result, they have begun to follow the logic of asset markets. This was especially marked in the case of the foreign exchange market...