Pentecost_Economics Letters Final (1).pdf (286.31 kB)
New “News” for the news model of the spot exchange rate
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.
History
School
- Business and Economics
Department
- Economics
Published in
Economics LettersVolume
200Publisher
ElsevierVersion
- SMUR (Submitted Manuscript Under Review)
Publisher statement
This paper was submitted for publication in the journal Information Processing Letters and the definitive published version is available at https://doi.org/10.1016/j.econlet.2021.109770Acceptance date
2021-01-28Publication date
2021-02-11Copyright date
2021ISSN
0165-1765eISSN
1873-7374Publisher version
Language
- en
