Is Exchange Rate Moody? Estimating the Influence of Market Sentiments With Google Trends
This paper proposes a novel method of exchange rate forecasting. We extend the present value model based on observable fundamentals by including three unobserved fundamentals: credit-market, financial-market, and price-market sentiments. We develop a method of sentiments extraction from Google Trend...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SGH Warsaw School of Economics, Collegium of Economic Analysis
2017-04-01
|
| Series: | Econometric Research in Finance |
| Online Access: | https://erfin.org/journal/index.php/erfin/article/view/13 |