Sentiment in foreign exchange markets: Hidden fundamentals by the back door or just noise?
Rafael R. Rebitzky
Additional contact information
Rafael R. Rebitzky: University of Hannover
No 118, Money Macro and Finance (MMF) Research Group Conference 2006 from Money Macro and Finance Research Group
Foreign exchange markets have to deal next to hard facts with lots of expectations and emo-tions. One of the major puzzles in international finance remains the â€œexchange rate discon-nect puzzleâ€ . Analyzing sentiment in foreign exchange markets, it appears in fact that senti-ment contains some forward looking information. Particularly due to the unknown economic relevance of sentiment in foreign exchange markets so far, we first analyze the relationship between fundamentals and sentiment in order to reveal underlying forces of the latter; sec-ond we accomplish our analysis by concentrating on popular expectation concepts and con-sidering threshold effects. Third, we evaluate sentiment by testing on accuracy and on for-ward looking elements of subsequent exchange rate returns
Keywords: Foreign exchange market; sentiment; bootstrap; threshold (search for similar items in EconPapers)
JEL-codes: G14 F31 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-ifn and nep-rmg
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:mmf:mmfc06:118
Access Statistics for this paper
More papers in Money Macro and Finance (MMF) Research Group Conference 2006 from Money Macro and Finance Research Group
Series data maintained by Christopher F. Baum ().