The Relevance of Sentiment and Media Attention for Exchange Rate Dynamics

This paper provides a novel perspective on the relationship between news sentiments and exchange rate dynamics. Using an extensive dataset of media coverage for the five biggest economies in Latin America from 2011 until 2021, we show that national sentiments and media attention have significant effects on exchange rate changes in three out of five currencies which is transmitted via media attention. Interestingly, we do not find evidence for influence by US sentiments on the Latin American exchange rate changes