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July 10, 2026Finance research lettersOpen Access

Exchange rate expectations and explainable AI

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Authors

TBTheo BergerRCRobert CzudajRKReyhaneh Rezaei Khavas

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Overview

Examines determinants of exchange rate expectations using AI in advanced and emerging economies, indicating differences in factors influencing them.

Key Points

  • This research aims to identify the factors that influence long-term exchange rate expectations in various economies.
  • Utilized survey data from advanced and emerging economies.
  • Employed explainable machine learning (XGBoost with SHAP values) to analyze nonlinear relationships.
  • Complemented standard regression analysis with machine learning techniques.
  • Found significant variations in determinants between advanced and emerging economies.
  • Inflation forecast errors and uncertainty are key in emerging markets.
  • Monetary policy shocks are significant when accounting for nonlinearities.

Cite This Study

Berger et al. (2026) studied this question.

synapsesocial.com/papers/6a508b536eeac72a4379ffe4https://doi.org/10.1016/j.frl.2026.110441
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Also Consider

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  1. 1Exchange Rate Prediction: Micro and Macro Factors, Machine Learning, and Future Directions2025
  2. 2COMPARATIVE FORECASTING PERFORMANCE OF DAILY EXCHANGE RATE VOLATILITY ACROSS DEVELOPED AND EMERGING ECONOMIES2026
  3. 3Artificial intelligence and exchange rate forecasting: assessing predictive accuracy and macroeconomic sensitivity2025 · 1 citations
  4. 4Multi-Scale Explainable AI for RMB Exchange Rate Drivers2026
  5. 5Fundamental determinants of exchange rate expectations2024 · 7 citations