Impact of Behavioural Attention on the Households Foreign Currency Savings as a Response to the External Macroeconomic Shocks

Vilma Deltuvaitė, Svatopluk Kapounek and Petr Korab

Prague Economic Papers, 2019, vol. 2019, issue 2, 155-177

Abstract: This paper investigates the impact of behavioural attention on the households' foreign currency savings as a response to the external macroeconomic shocks. The information that the households acquire via different communication channels is expected to influence their decisions regarding their savings' allocation into different currencies. This study has applied the fundamental macroeconomic models by including individuals' attention to the specific risks and search interest in specific keywords on Google in order to assess the impact of acquired information and its communication channel on the households' foreign currency savings. We employed a two-level mixed effects model including macroeconomic fundamentals and individuals' attention to the information determinants. We solved a problem of a long list of potential explanatory variables (keywords) by employing the Bayesian Model Averaging. This study assumes that households are more sensitive to the macroeconomic shocks (factors) if they search simultaneously for infor-mation on Google about these factors or specific related risks. The results emphasize the role behavioural attention during financial turmoil and economic downturn periods, especially in the environment of very low interest rates.

Keywords: foreign exchange; macroeconomic shocks; households; behavioural attention; Google Trends; Bayesian Model Averaging (search for similar items in EconPapers)
JEL-codes: C11 C23 D14 F31 F62 G11 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://pep.vse.cz/doi/10.18267/j.pep.690.html (text/html)
http://pep.vse.cz/doi/10.18267/j.pep.690.pdf (application/pdf)
free of charge

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:prg:jnlpep:v:2019:y:2019:i:2:id:690:p:155-177

Ordering information: This journal article can be ordered from
Editorial office Prague Economic Papers, University of Economics, nám. W. Churchilla 4, 130 67 Praha 3, Czech Republic
http://pep.vse.cz

DOI: 10.18267/j.pep.690

Access Statistics for this article

Prague Economic Papers is currently edited by Klára Pavlová

More articles in Prague Economic Papers from Prague University of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Stanislav Vojir ().