Selective Attention in Exchange Rate Forecasting
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F22%3A00564957" target="_blank" >RIV/67985556:_____/22:00564957 - isvavai.cz</a>
Alternative codes found
RIV/62156489:43110/22:43919146 RIV/00216208:11230/22:10421423 RIV/61989100:27510/22:10246331
Result on the web
<a href="https://www.tandfonline.com/doi/full/10.1080/15427560.2020.1865355" target="_blank" >https://www.tandfonline.com/doi/full/10.1080/15427560.2020.1865355</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/15427560.2020.1865355" target="_blank" >10.1080/15427560.2020.1865355</a>
Alternative languages
Result language
angličtina
Original language name
Selective Attention in Exchange Rate Forecasting
Original language description
We analyze the exchange rate forecasting performance under the assumption of selective attention. Although currency markets react to a variety of different information, we hypothesize that market participants process only a limited amount of information. Our analysis includes more than 100,000 news articles relevant to the six most-traded foreign exchange currency pairs for the period of 1979–2016. We employ a dynamic model averaging approach to reduce model selection uncertainty and to identify time-varying probability to include regressors in our models. Our results show that smaller sizes models accounting for the presence of selective attention offer improved fitting and forecasting results. Specifically, we document a growing impact of foreign trade and monetary policy news on the euro/dollar exchange rate following the global financial crisis. Overall, our results point to the existence of selective attention in the case of most currency pairs.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
50206 - Finance
Result continuities
Project
<a href="/en/project/GA20-11769S" target="_blank" >GA20-11769S: Financial Networks: Examining Financial Markets Linkages using Network Approach</a><br>
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Journal of Behavioral FInance
ISSN
1542-7560
e-ISSN
1542-7579
Volume of the periodical
23
Issue of the periodical within the volume
2
Country of publishing house
US - UNITED STATES
Number of pages
19
Pages from-to
210-229
UT code for WoS article
000607889500001
EID of the result in the Scopus database
2-s2.0-85100179586