New “News” for the news model of the spot exchange rate
journal contributionposted 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.
- Business and Economics