TY  - JOUR
U1  - Zeitschriftenartikel, wissenschaftlich - begutachtet (reviewed)
A1  - Dos Santos, Lana
A1  - Herzog, Bodo
T1  - Google search in exchange rate models : hype or hope?
JF  - Journal of risk and financial management : JRFM
N2  - 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.
KW  - exchange rate
KW  - Google search
KW  - big data
KW  - AI
KW  - information inattention
Y1  - 2021
UN  - https://nbn-resolving.org/urn:nbn:de:bsz:rt2-opus4-32548
SN  - 1911-8066
SS  - 1911-8066
U6  - https://doi.org/10.3390/jrfm14110512
DO  - https://doi.org/10.3390/jrfm14110512
VL  - 14
IS  - 11
SP  - 1
EP  - 40
S1  - 40
PB  - MDPI
CY  - Basel
ER  -