Selective Attention in Exchange Rate Forecasting

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/62156489:43110/22:43919146 RIV/00216208:11230/22:10421423 RIV/61989100:27510/22:10246331

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Selective Attention in Exchange Rate Forecasting

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Selective Attention in Exchange Rate Forecasting

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

50206 - Finance

Projekt

<a href="/cs/project/GA20-11769S" target="_blank" >GA20-11769S: Finanční sítě: výzkum vztahů mezi finančními trhy na základě metodiky sítí</a><br>

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2022

Kód důvěrnosti údajů

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

Název periodika

Journal of Behavioral FInance

ISSN

1542-7560

e-ISSN

1542-7579

Svazek periodika

23

Číslo periodika v rámci svazku

2

Stát vydavatele periodika

US - Spojené státy americké

Počet stran výsledku

19

Strana od-do

210-229

Kód UT WoS článku

000607889500001

EID výsledku v databázi Scopus

2-s2.0-85100179586