New "news" for the news model of the spot exchange rate

即期汇率消息模型的新“消息”

• 批准号: 21K13288
• 负责人: DU Wenti
• 金额: $ 1.41万
• 依托单位: Akita International University
• 依托单位国家: 日本
• 项目类别: Grant-in-Aid for Early-Career Scientists
• 财政年份: 2021
• 资助国家: 日本
• 起止时间: 2021-04-01 至 2024-03-31
• 项目状态: 已结题
• 来源: https://kaken.nii.ac.jp/grant/KAKENHI-PROJECT-21K13288/
• 关键词: news model; exchange rate; uncertainty

To have more accurate findings, survey data on Foreign Exchange Consensus Forecasts collected from Consensus Economics was extended from June 2021 to January 2023. Policy uncertainties data collected from The Research Institute of Economy, Trade, and Industry, including economics policy uncertainty, fiscal policy uncertainty, monetary policy uncertainty, trade policy uncertainty, and exchange rate policy uncertainty, was also extended from June 2021 to January 2023. To test the news model of the exchange rate, the 3-month treasury bill interest rate series collected from the Federal Reserve Economic Data and Bank of Japan Statistics also had been extended. Diagnostic tests and preliminary tests were then conducted.

为了获得更准确的结果，从Consensus Economics收集的外汇共识预测调查数据从2021年6月延长至2023年1月。从经济贸易产业研究院收集的政策不确定性数据，包括经济政策不确定性、财政政策不确定性、货币政策不确定性、贸易政策不确定性和汇率政策不确定性，也从2021年6月延长至2023年1月。为了检验汇率的新闻模型，从美联储经济数据和日本银行统计数据中收集的3个月期国库券利率序列也被延长。随后进行了诊断测试和初步测试。