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New “News” for the news model of the spot exchange rate

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journal contribution
posted on 22.11.2021, 11:06 by W Du, Eric PentecostEric Pentecost
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 Letters

Volume

200

Publisher

Elsevier

Version

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.2021.109770

Acceptance date

28/01/2021

Publication date

2021-02-11

Copyright date

2021

ISSN

0165-1765

eISSN

1873-7374

Language

en

Depositor

Deposit date: 18 November 2021

Article number

109770