Real Exchange Rate Misalignment and Currency Crises

2020 ◽  
Vol 56 (3) ◽  
pp. 345-362
Author(s):  
Unggul Heriqbaldi ◽  
Wahyu Widodo ◽  
Dian Ekowati
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Currency Crises ◽  
Exchange Rate Misalignment

scholarly journals Real exchange rate misalignment: Prelude to crisis?

2006 ◽  
Vol 30 (3) ◽  
pp. 207-230 ◽  
Author(s):  
David M. Kemme ◽  
Saktinil Roy
Keyword(s):  
Exchange Rate ◽  
Real Exchange Rate ◽  
Exchange Rate Misalignment

scholarly journals Predicting Currency Crises: A Novel Approach Combining Random Forests and Wavelet Transform

2018 ◽  
Vol 11 (4) ◽  
pp. 86 ◽  
Author(s):  
Lei Xu ◽  
Takuji Kinkyo ◽  
Shigeyuki Hamori
Keyword(s):  
Exchange Rate ◽  
Wavelet Transform ◽  
Real Exchange Rate ◽  
Random Forests ◽  
Currency Crises ◽  
Predictive Accuracy ◽  
Classification Model ◽  
Novel Approach ◽  
Variable Importance Measures ◽  
High Level

We propose a novel approach that combines random forests and the wavelet transform to model the prediction of currency crises. Our classification model of random forests, built using both standard predictors and wavelet predictors, and obtained from the wavelet transform, achieves a demonstrably high level of predictive accuracy. We also use variable importance measures to find that wavelet predictors are key predictors of crises. In particular, we find that real exchange rate appreciation and overvaluation, which are measured over a horizon of 16–32 months, are the most important.

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