Macroeconomic models of nominal exchange rates perform poorly. In sample, R 2 statistics as high as 10 percent are rare. Out of sample, these models are typically out-forecast by a naïve random walk. This paper presents a model of a new kind. Instead of relying exclusively on macroeconomic...

In this paper, a new method is introduced to predict currency crises. The method models a continuous crisis index, based on depreciations and reserve losses. The fact that during currency crises, the behaviour of market participants differs from normal circumstances is modelled by means of model...

We analyse the emerging Serbian bond market to compare its behaviour to developed markets and to indicate what is behind bond market emergence. As an analytical tool we model the term structure of the bond market. We find that a modified standard model performs rather well in the environment of...