| bibtype |
V -
Research Report
|
| ARLID |
0531234 |
| utime |
20240103224251.9 |
| mtime |
20200728235959.9 |
| title
(primary) (eng) |
Selective Attention in Exchange Rate Forecasting |
| publisher |
| place |
Kyoto |
| name |
Kyoto Institute of Economic Studies |
| pub_time |
2020 |
|
| specification |
| page_count |
31 s. |
| media_type |
E |
|
| edition |
| name |
KIER Discussion Papers Series |
| volume_id |
1035 |
|
| keyword |
exchange rate |
| keyword |
selective attention |
| keyword |
news |
| keyword |
dynamic model averaging |
| author
(primary) |
| ARLID |
cav_un_auth*0394148 |
| share |
35 |
| name1 |
Kapounek |
| name2 |
S. |
| country |
CZ |
|
| author
|
| ARLID |
cav_un_auth*0017494 |
| share |
35 |
| name1 |
Kučerová |
| name2 |
Z. |
| country |
CZ |
|
| author
|
| ARLID |
cav_un_auth*0312139 |
| share |
30 |
| name1 |
Kočenda |
| name2 |
Evžen |
| institution |
UTIA-B |
| full_dept (cz) |
Ekonometrie |
| full_dept |
Department of Econometrics |
| department (cz) |
E |
| department |
E |
| full_dept |
Department of Econometrics |
| country |
CZ |
| fullinstit |
Ústav teorie informace a automatizace AV ČR, v. v. i. |
|
| source |
|
| cas_special |
| abstract
(eng) |
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 considering selective attention improves forecasting results. Specifically, we document a growing impact of foreign trade and monetary policy news on the Euro/United States of America dollar currency pair following the global financial crisis. Overall, our results point to the existence of selective attention in the case of most currency pairs. |
| RIV |
AH |
| FORD0 |
50000 |
| FORD1 |
50200 |
| FORD2 |
50206 |
| reportyear |
2021 |
| num_of_auth |
3 |
| inst_support |
RVO:67985556 |
| permalink |
http://hdl.handle.net/11104/0310090 |
| confidential |
S |
| arlyear |
2020 |
| mrcbU10 |
2020 |
| mrcbU10 |
Kyoto Kyoto Institute of Economic Studies |
|