EconPapers    
Economics at your fingertips  
 

Google Trends and Structural Exchange Rate Models for Turkish Lira–US Dollar Exchange Rate

Levent Bulut () and Dogan Can ()
Additional contact information
Dogan Can: College of Business and Economics, Department of Economics, Radford University, Radford, VA, USA

Review of Middle East Economics and Finance, 2018, vol. 14, issue 2, 12

Abstract: In this paper, we use Google Trends data to proxy macro fundamentals that are related to two conventional structural determination of exchange rate models: purchasing power parity model and the monetary exchange rate determination model. We assess forecasting performance of Google Trends based models against random walk null on Turkish Lira–US Dollar exchange rate for the period of January 2004 to August 2015. We offer a three-step methodology for query selection for macro fundamentals in Turkey and the US. In out-of-sample forecasting, results show better performance against no-change random walk predictions for specifications both when we use Google Trends data as the only exchange rate predictor or augment it with exchange rate fundamentals. We also find that Google Trends data has limited predictive power when used in year-on-year growth rate format.

Keywords: exchange rate; Google query selection; Google Trends; Meese-Rogoff Puzzle; Turkish Lira (search for similar items in EconPapers)
JEL-codes: C53 F31 F37 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
https://doi.org/10.1515/rmeef-2017-0026 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:rmeecf:v:14:y:2018:i:2:p:12:n:3

Ordering information: This journal article can be ordered from
https://www.degruyter.com/view/j/rmeef

DOI: 10.1515/rmeef-2017-0026

Access Statistics for this article

Review of Middle East Economics and Finance is currently edited by Ghassan Dibeh

More articles in Review of Middle East Economics and Finance from De Gruyter
Bibliographic data for series maintained by Peter Golla ().

 
Page updated 2022-09-13
Handle: RePEc:bpj:rmeecf:v:14:y:2018:i:2:p:12:n:3