Google Trends and Exchange Rate Movements: Evidence from Wavelet Analysis

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43110%2F16%3A43909500" target="_blank" >RIV/62156489:43110/16:43909500 - isvavai.cz</a>

Nalezeny alternativní kódy

RIV/61989100:27510/16:86098123

Výsledek na webu

<a href="http://mme2016.tul.cz/conferenceproceedings/mme2016_conference_proceedings.pdf" target="_blank" >http://mme2016.tul.cz/conferenceproceedings/mme2016_conference_proceedings.pdf</a>

DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

Google Trends and Exchange Rate Movements: Evidence from Wavelet Analysis

Popis výsledku v původním jazyce

Empirical exchange rate models that try to explain and forecast the movements of exchange rates do not serve as a good way for proper testing and forecasting of exchange rate movements nowadays because large exchange rate swings could be better explained by institutional, behavioural and other determinants and by market expectations than by economic fundamentals (such as interest parity condition, inflation differential etc.). The objective of the paper is to examine the short- and long-term co-movements between exchange rate of the US dollar and euro Euro and internet search data provided from Google Trends. Google Trends data provide monthly information about search intensity via search query indices on selected variables and they can serve as a proxy for the market expectations of these variables. We use the method of wavelet coherence analysis with phase shift to identify the causality in Granger sense. We apply Monte Carlo method to estimate the significance of results and edge effects. Our results indicate that data from Google Trends help to explain the movement of exchange rates.

Název v anglickém jazyce

Google Trends and Exchange Rate Movements: Evidence from Wavelet Analysis

Popis výsledku anglicky

Empirical exchange rate models that try to explain and forecast the movements of exchange rates do not serve as a good way for proper testing and forecasting of exchange rate movements nowadays because large exchange rate swings could be better explained by institutional, behavioural and other determinants and by market expectations than by economic fundamentals (such as interest parity condition, inflation differential etc.). The objective of the paper is to examine the short- and long-term co-movements between exchange rate of the US dollar and euro Euro and internet search data provided from Google Trends. Google Trends data provide monthly information about search intensity via search query indices on selected variables and they can serve as a proxy for the market expectations of these variables. We use the method of wavelet coherence analysis with phase shift to identify the causality in Granger sense. We apply Monte Carlo method to estimate the significance of results and edge effects. Our results indicate that data from Google Trends help to explain the movement of exchange rates.

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

<a href="/cs/project/GA16-26353S" target="_blank" >GA16-26353S: Sentiment a jeho vliv na akciové trhy</a><br>

Návaznosti

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Mathematical Methods in Economics 2016: Conference Proceedings

ISBN

978-80-7494-296-9

ISSN

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e-ISSN

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Počet stran výsledku

6

Strana od-do

377-382

Název nakladatele

Technická univerzita v Liberci

Místo vydání

Liberec

Místo konání akce

Liberec

Datum konání akce

6. 9. 2016

Typ akce podle státní příslušnosti

WRD - Celosvětová akce

Kód UT WoS článku

000385239500065