Google Search in Exchange Rate Models: Hype or Hope?

This paper studies the power of online search intensity metrics, measured by Google, for examining and forecasting exchange rates. We use panel data consisting of quarterly time series from 2004 to 2018 and ten international countries with the highest currency trading volume. Newly, we include vario...

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Autores principales:	Bodo Herzog, Lana dos Santos
Formato:	article
Lenguaje:	EN
Publicado:	MDPI AG 2021
Materias:	exchange rate Google search big data AI information inattention Risk in industry. Risk management HD61 Finance HG1-9999
Acceso en línea:	https://doaj.org/article/0f89b3554b6a482e9f7ebc2d1cf48816
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spelling	oai:doaj.org-article:0f89b3554b6a482e9f7ebc2d1cf488162021-11-25T18:08:26ZGoogle Search in Exchange Rate Models: Hype or Hope?10.3390/jrfm141105121911-80741911-8066https://doaj.org/article/0f89b3554b6a482e9f7ebc2d1cf488162021-10-01T00:00:00Zhttps://www.mdpi.com/1911-8074/14/11/512https://doaj.org/toc/1911-8066https://doaj.org/toc/1911-8074This paper studies the power of online search intensity metrics, measured by Google, for examining and forecasting exchange rates. We use panel data consisting of quarterly time series from 2004 to 2018 and ten international countries with the highest currency trading volume. Newly, we include various Google search intensity metrics to our panel data. We find that online search improves the overall econometric models and fits. First, four out of ten search variables are robustly significant at one percent and enhance the macroeconomic exchange rate models. Second, country regressions corroborate the panel results, yet the predictive power of search intensity with regard to exchange rates vary by country. Third, we find higher prediction performance for our exchange rate models with search intensity, particularly in regard to the direction of the exchange rate. Overall, our approach reveals a value-added of search intensity in exchange rate models.Bodo HerzogLana dos SantosMDPI AGarticleexchange rateGoogle searchbig dataAIinformation inattentionRisk in industry. Risk managementHD61FinanceHG1-9999ENJournal of Risk and Financial Management, Vol 14, Iss 512, p 512 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	exchange rate Google search big data AI information inattention Risk in industry. Risk management HD61 Finance HG1-9999
spellingShingle	exchange rate Google search big data AI information inattention Risk in industry. Risk management HD61 Finance HG1-9999 Bodo Herzog Lana dos Santos Google Search in Exchange Rate Models: Hype or Hope?
description	This paper studies the power of online search intensity metrics, measured by Google, for examining and forecasting exchange rates. We use panel data consisting of quarterly time series from 2004 to 2018 and ten international countries with the highest currency trading volume. Newly, we include various Google search intensity metrics to our panel data. We find that online search improves the overall econometric models and fits. First, four out of ten search variables are robustly significant at one percent and enhance the macroeconomic exchange rate models. Second, country regressions corroborate the panel results, yet the predictive power of search intensity with regard to exchange rates vary by country. Third, we find higher prediction performance for our exchange rate models with search intensity, particularly in regard to the direction of the exchange rate. Overall, our approach reveals a value-added of search intensity in exchange rate models.
format	article
author	Bodo Herzog Lana dos Santos
author_facet	Bodo Herzog Lana dos Santos
author_sort	Bodo Herzog
title	Google Search in Exchange Rate Models: Hype or Hope?
title_short	Google Search in Exchange Rate Models: Hype or Hope?
title_full	Google Search in Exchange Rate Models: Hype or Hope?
title_fullStr	Google Search in Exchange Rate Models: Hype or Hope?
title_full_unstemmed	Google Search in Exchange Rate Models: Hype or Hope?
title_sort	google search in exchange rate models: hype or hope?
publisher	MDPI AG
publishDate	2021
url	https://doaj.org/article/0f89b3554b6a482e9f7ebc2d1cf48816
work_keys_str_mv	AT bodoherzog googlesearchinexchangeratemodelshypeorhope AT lanadossantos googlesearchinexchangeratemodelshypeorhope
_version_	1718411542877175808

Google Search in Exchange Rate Models: Hype or Hope?

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