Predicting Foreign Exchange Rate Movements: An Application of the Ensemble Method

Charles Raoul Tchuinkam Djemo, Joel Hinaunye Eita, John Weirstrass Muteba Mwamba

Research output: Contribution to journalArticlepeer-review

4 Citations (Scopus)


This paper investigates the relationship between macroeconomics variables and foreign exchange rate direction and predicts this direction using an ensemble method. We classified exchange rate movements into two classes, appreciation and depreciation. We employed monthly data for macroeconomic variables and the currency price of the US dollar, Euro, Japanese Yen and British pound against the South African rand. The results show that the ensemble method provides an accurate prediction for the appreciation of the Euro, US dollar and British pound and depreciation of the Japanese Yen. Stock price and terms of trade are more responsible for appreciating the US dollar.

Original languageEnglish
Pages (from-to)58-69
Number of pages12
JournalReview of Development Finance
Issue number2
Publication statusPublished - 1 Dec 2021


  • Ensemble method
  • Foreign exchange rate
  • Machine learning
  • Prediction

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


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