FX Funamental Price Forecast - Need more frequent data

B

bscully27

To model the FX spot price of USDCAD, I am using the following data points:
GDP
TradeAccount
CPI
Employment
Housing
etc

Many of these categories only have monthly or quarterly data. I'd like a more frequent set - perhaps weekly if at all possible.

I'm curious what others have done with this data limitation. One idea is filling-forward the dataset (ie if blank use last value). Not a huge fan of this approach though.

What else could be done?

Thanks
 
great point, I will add nat resources into the mix, certainly affects the fundamentals

Any insights on how to merge monthly and daily data?

My options are:
Convert monthly to daily, using same value throughout the month.
Sum daily data to monthly level and proceed. Looses granularity but might be the easiest to start with
 
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