The Library
Exchange rates and binary political events
Tools
Venturi, Pedro, Ferreira, Alex, Gozluklu, Arie E. and Gong, Yujing (2023) Exchange rates and binary political events. Oxford Economic Papers . gpad039. doi:10.1093/oep/gpad039 ISSN 0030-7653. (In Press)
PDF
WRAP-Exchange-rates-binary-political-events-23.pdf - Accepted Version Embargoed item. Restricted access to Repository staff only until 23 September 2025. Contact author directly, specifying your specific needs. - Requires a PDF viewer. Download (727Kb) |
Official URL: http://doi.org/10.1093/oep/gpad039
Abstract
This article introduces a rational expectations model that explains exchange rate dynamics and the predictability of forecast errors using private (aggregated via order flow) and public (probabilities of a binary event) information. We test the model for the periods leading up to the presidential impeachment vote in Brazil, the Brexit Referendum, and Donald Trump’s election in 2016. Proxies of the physical probabilities of these events reveal that they are a crucial source of pricing information for the BRL, GBP, and MXN currency pairs with the US dollar. They also explain forecast errors. The information content of order flow changes before and after an actual regime change resolves uncertainty.
Item Type: | Journal Article | ||||||||
---|---|---|---|---|---|---|---|---|---|
Subjects: | H Social Sciences > HG Finance | ||||||||
Divisions: | Faculty of Social Sciences > Warwick Business School | ||||||||
Library of Congress Subject Headings (LCSH): | Foreign exchange, International finance, Finance -- Mathematical models, Foreign exchange rates -- Political aspects | ||||||||
Journal or Publication Title: | Oxford Economic Papers | ||||||||
Publisher: | Oxford University Press | ||||||||
ISSN: | 0030-7653 | ||||||||
Official Date: | 2023 | ||||||||
Dates: |
|
||||||||
Article Number: | gpad039 | ||||||||
DOI: | 10.1093/oep/gpad039 | ||||||||
Status: | Peer Reviewed | ||||||||
Publication Status: | In Press | ||||||||
Reuse Statement (publisher, data, author rights): | This is a pre-copyedited, author-produced version of an article accepted for publication in Oxford Economic Papers following peer review. The version of record Pedro Venturi, Alex Ferreira, Arie Gozluklu, Yujing Gong, Exchange rates and binary political events, Oxford Economic Papers, 2023;, gpad039, is available online at: https://doi.org/10.1093/oep/gpad039 | ||||||||
Access rights to Published version: | Restricted or Subscription Access | ||||||||
Copyright Holders: | © Oxford University Press 2023.All rights reserved. | ||||||||
Date of first compliant deposit: | 26 September 2023 | ||||||||
RIOXX Funder/Project Grant: |
|
Request changes or add full text files to a record
Repository staff actions (login required)
View Item |