汇率和二元政治事件

IF 1 4区经济学 Q3 ECONOMICS

Oxford Economic Papers-New Series Pub Date : 2023-09-23 DOI:10.1093/oep/gpad039

Pedro Venturi, Alex Ferreira, Arie Gozluklu, Yujing Gong

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引用次数: 0

摘要

本文介绍了一个理性预期模型，该模型使用私有(通过订单流聚合)和公共(二元事件的概率)信息来解释汇率动态和预测误差的可预测性。我们在巴西总统弹劾投票、英国脱欧公投和2016年唐纳德·特朗普当选之前的时期对该模型进行了测试。这些事件的物理概率的代理表明，它们是巴西雷亚尔、英镑和墨西哥比索对美元定价信息的重要来源。它们也解释了预测误差。在实际制度变化前后，订单流的信息内容发生了变化，从而解决了不确定性。

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Exchange rates and binary political events

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.

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来源期刊

Oxford Economic Papers-New Series ECONOMICS-

CiteScore

2.20

自引率

0.00%

发文量

期刊介绍： Oxford Economic Papers is a general economics journal, publishing refereed papers in economic theory, applied economics, econometrics, economic development, economic history, and the history of economic thought. It occasionally publishes survey articles in addition to original papers. Books are not reviewed, but substantial review articles are considered. The journal occasionally publishes survey articles in addition to original papers, and occasionally publishes special issues or symposia.