The Role of Country-pair-related News Sentiment in Foreign Exchange
This article explores the relative, explanatory contribution of country-pair-related political and financial news to foreign exchange rates. Contributing political factors are measured through the sentiment scores of published news while contributing financial factors are measured through various ec...
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| Format: | Article |
| Language: | English |
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Athens Institute for Education and Research
2023-07-01
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| Series: | Athens Journal of Business & Economics |
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| Online Access: | http://www.athensjournals.gr/business/2023-9-3-5-Unger.pdf |
| _version_ | 1797787008873005056 |
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| author | Stephan Unger |
| author_facet | Stephan Unger |
| author_sort | Stephan Unger |
| collection | DOAJ |
| description | This article explores the relative, explanatory contribution of country-pair-related political and financial news to foreign exchange rates. Contributing political factors are measured through the sentiment scores of published news while contributing financial factors are measured through various economic indicators such as price and volume of USD and CNY oil futures, the Russian IMOEX Index, and corresponding interest differentials. The results show that news sentiment plays a minor role in exchange rate determination while other factors such as prices and traded volumes in oil future contracts and interest differentials are significant contributing factors to the exchange rate determination. Nevertheless, the quality and quantity of news coverage of geo-political or economic events seems to play an important role when it comes to the impact of news on exchange rates. Among the sentiment-analyzed currency pairs, EUR/USD exhibits by far the highest sensitivity to political and economic news, followed by EUR/RUB, RUB/CNY, EUR/CNY, USD/CNY, and USD/RUB. |
| first_indexed | 2024-03-13T01:16:52Z |
| format | Article |
| id | doaj.art-c34327eff31e4d30995cc7e52b5ca147 |
| institution | Directory Open Access Journal |
| issn | 2241-794X |
| language | English |
| last_indexed | 2024-03-13T01:16:52Z |
| publishDate | 2023-07-01 |
| publisher | Athens Institute for Education and Research |
| record_format | Article |
| series | Athens Journal of Business & Economics |
| spelling | doaj.art-c34327eff31e4d30995cc7e52b5ca1472023-07-05T10:37:47ZengAthens Institute for Education and ResearchAthens Journal of Business & Economics2241-794X2023-07-019332734410.30958/ajbe.9-3-5The Role of Country-pair-related News Sentiment in Foreign Exchange Stephan Unger0Associate Professor, Department of Economics and Business, Saint Anselm College, USAThis article explores the relative, explanatory contribution of country-pair-related political and financial news to foreign exchange rates. Contributing political factors are measured through the sentiment scores of published news while contributing financial factors are measured through various economic indicators such as price and volume of USD and CNY oil futures, the Russian IMOEX Index, and corresponding interest differentials. The results show that news sentiment plays a minor role in exchange rate determination while other factors such as prices and traded volumes in oil future contracts and interest differentials are significant contributing factors to the exchange rate determination. Nevertheless, the quality and quantity of news coverage of geo-political or economic events seems to play an important role when it comes to the impact of news on exchange rates. Among the sentiment-analyzed currency pairs, EUR/USD exhibits by far the highest sensitivity to political and economic news, followed by EUR/RUB, RUB/CNY, EUR/CNY, USD/CNY, and USD/RUB.http://www.athensjournals.gr/business/2023-9-3-5-Unger.pdfforeign exchangenews sentiment analysistext mininggeo-political sentiment |
| spellingShingle | Stephan Unger The Role of Country-pair-related News Sentiment in Foreign Exchange Athens Journal of Business & Economics foreign exchange news sentiment analysis text mining geo-political sentiment |
| title | The Role of Country-pair-related News Sentiment in Foreign Exchange |
| title_full | The Role of Country-pair-related News Sentiment in Foreign Exchange |
| title_fullStr | The Role of Country-pair-related News Sentiment in Foreign Exchange |
| title_full_unstemmed | The Role of Country-pair-related News Sentiment in Foreign Exchange |
| title_short | The Role of Country-pair-related News Sentiment in Foreign Exchange |
| title_sort | role of country pair related news sentiment in foreign exchange |
| topic | foreign exchange news sentiment analysis text mining geo-political sentiment |
| url | http://www.athensjournals.gr/business/2023-9-3-5-Unger.pdf |
| work_keys_str_mv | AT stephanunger theroleofcountrypairrelatednewssentimentinforeignexchange AT stephanunger roleofcountrypairrelatednewssentimentinforeignexchange |