How much does economic news influence bilateral exchange rates?

Paresh Kumar Narayan, Deepa Bannigidadmath and Seema Narayan ()

Journal of International Money and Finance, 2021, vol. 115, issue C

Abstract: We investigate the role of economic news in predicting US dollar vis-à-vis the British Sterling Pound exchange rate. We find that it is the negative news (and not positive news) that predicts exchange rate most successfully. This predictability is evident during both recessions and expansions but is stronger during: (a) recessions; and (b) extreme depreciations and appreciations. In additional analysis, we use data for 26 OECD countries and discover that both positive and negative news are important, predicting rates for 62% and 46% of countries, respectively. A range of robustness tests confirm the importance of news in predicting exchange rates.

Keywords: Exchange rate; Economic news; Depreciation; Appreciation; Recession; Expansion; Predictability (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0261560621000619
Full text for ScienceDirect subscribers only

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:eee:jimfin:v:115:y:2021:i:c:s0261560621000619

DOI: 10.1016/j.jimonfin.2021.102410

Access Statistics for this article

Journal of International Money and Finance is currently edited by J. R. Lothian

More articles in Journal of International Money and Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().