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

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
项目状态:
已结题
起止时间:
2021-04-01 至 2024-03-31

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中文摘要
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英文摘要
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.
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