Sentiment in foreign exchange markets: Hidden fundamentals by the back door or just noise?

Foreign exchange markets have to deal next to hard facts with lots of expectations and emo-tions. One of the major puzzles in international finance remains the â€œexchange rate discon-nect puzzleâ€. Analyzing sentiment in foreign exchange markets, it appears in fact that senti-ment contains some forward looking information. Particularly due to the unknown economic relevance of sentiment in foreign exchange markets so far, we first analyze the relationship between fundamentals and sentiment in order to reveal underlying forces of the latter; sec-ond we accomplish our analysis by concentrating on popular expectation concepts and con-sidering threshold effects. Third, we evaluate sentiment by testing on accuracy and on for-ward looking elements of subsequent exchange rate returns

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Year of publication:	2007-02-02
Authors:	Rebitzky, Rafael R.
Institutions:	Money Macro and Finance Research Group
Subject:	Foreign exchange market \| sentiment \| bootstrap \| threshold

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Extent:	application/pdf
Series:	Money Macro and Finance (MMF) Research Group Conference 2006.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series 2006 MMF Conference Papers Number 118
Classification:	G14 - Information and Market Efficiency; Event Studies ; F31 - Foreign Exchange
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004978118