Welcome to Dave Rapach’s Website

Financial Economist & Policy Adviser, Research Department, Federal Reserve Bank of Atlanta

[Disclaimer: I solely maintain this website; the views expressed here are my own and are not necessarily those of the Federal Reserve Bank of Atlanta or the Federal Reserve System]

My Google Scholar page is available here

Revised working paper: Economic Fundamentals and Short-Run Exchange Rate Prediction: A Machine-Learning Perspective, with Ilias Filippou, Mark Taylor, and Guofu Zhou [resubmitted to the Journal of International Economics]

Revised working paper: The Anatomy of Out-of-Sample Forecasting Accuracy: A Shapley-Based Approach, with Daniel Borup, Philippe Goulet Coulombe, Erik Christian Montes Schütte, and Sander Schwenk-Nebbe [Python package anatomy]

New: Cross-Sectional Expected Returns: New Fama-MacBeth Regressions in the Era of Machine Learning, with Yufeng Han, Ai He, and Guofu Zhou, Review of Finance, 2024, 28(6), 1807–1831 [R code to compute/evaluate new E-LASSO forecast]

Revised working paper: The Anatomy of Machine Learning-Based Portfolio Performance, with Philippe Goulet Coulombe, Erik Christian Montes Schütte, and Sander Schwenk-Nebbe [subject of Machine Learning & Quant Finance blog post by Derek Snow | slides for CEMFI Workshop on Big Data in Asset Management]

Revised working paper:  Cryptocurrency Return Predictability: A Machine-Learning Analysis, with Ilias Filippou and Christoffer Thimsen

ADDRESS

Research Department

Federal Reserve Bank of Atlanta

1000 Peachtree Street NE

Atlanta, GA 30309

CONTACT

dave.rapach@gmail.com

david.rapach@atl.frb.org