New 'News' for the news model of the spot exchange rate

Autor:	Eric J. Pentecost, Wenti Du
Rok vydání:	2021
Předmět:	Economics and Econometrics Spot contract business.industry 05 social sciences Big data Exchange rate 0502 economics and business Economics Econometrics Survey data collection Verifiable secret sharing 050207 economics Market sentiment business Finance 050205 econometrics
Zdroj:	Economics Letters. 200:109770
ISSN:	0165-1765
DOI:	10.1016/j.econlet.2021.109770
Popis:	The “News” model of the exchange rate, that received only weak support in the 1980s, is shown to be a verifiable model of the bilateral spot rate once the “news” is appropriately measured. Using market sentiment and policy uncertainty indices derived from big data for Japan, as “news” and survey data of agents’ expectations of the spot rate one month ahead, the “News” model of the exchange rate is shown not to be rejected for the bilateral JPY/USD rate from June 2009 to December 2017.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::a8be97caaff0128015611088a8fb05d5 https://doi.org/10.1016/j.econlet.2021.109770 Zobrazit plný text záznamu Full Text from ScienceDirect