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

Wenti Du and Eric Pentecost

Economics Letters, 2021, vol. 200, issue C

Abstract: 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.

Keywords: Big data; Market sentiment; Policy uncertainty; The “News” model of the exchange rate (search for similar items in EconPapers)
JEL-codes: F31 F41 G15 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:200:y:2021:i:c:s0165176521000471

DOI: 10.1016/j.econlet.2021.109770

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