Name
Title | ||
|---|---|---|
Information Processing of Foreign Exchange News: Extending the Overshooting Model to Include Qualitative Information from News Sentiment |
Abstract | ||
|---|---|---|
In a globalized world, the volume of international trade is based on both import and export prices, thereby making a country’s economy highly dependent on exchange rates. In order to study exchange rate movements, one frequently exploits the so-called Dornbusch overshooting model. However, the model is controversial from a theoretical point of view: it presupposes the processing of information, though this is not directly reflected by the underlying variables. As a remedy, this paper investigates a potential cognitive bias by including textual news content, thus adjusting for information dissemination. As such, we perform a multivariate analysis to compare the classical overshooting model with an extended variant that includes news sentiment. Our results show that news has a substantial explanatory power of 11 % of the exchange rate forecasting error variance. In addition, we also find statistical evidence that a shock in news sentiment may lead to overshooting. |
Year | DOI | Venue |
|---|---|---|
2015 | 10.2139/ssrn.2603435 | International Conference on Interaction Sciences |
Field | DocType | Citations |
Overshooting model,Economics,Information processing,Exploit,Explanatory power,Multivariate analysis,Information bias,Marketing,Foreign exchange,Exchange rate | Conference | 0 |
PageRank | References | Authors |
0.34 | 12 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Stefan Feuerriegel | 1 | 219 | 31.91 |
| Georg Wolff | 2 | 0 | 0.68 |
| Dirk Neumann | 3 | 294 | 37.29 |