News and Exchange Rate Dynamics

Abstract

List of Figures VI List of Tables VI Authors VII Introduction to the English Edition VIII Introduction to the Italian Edition by Mario Sarcinelli X List of Abbreviations XIII I. Newsmetrics: measurement of news impact in the foreign exchange market 1 1.1. Theories of exchange rate determination. - 1.2. Newsmetrics. - 1.3. Uses of Newsmetrics. - 1.4. Development of the study. II. The foreign exchange market in 1994-97: events, trends and economic policies. 15 2.1. The dollar in 1995: depreciation and attempts at stabilisation. - 2.2. The dollar in 1996: the long-overdue rally. - 2.3. 1997: a strong dollar. - 2.4. The Lira during the Berlusconi government: March-December 1994. - 2.5. The lira during the Dini government in 1995. - 2.6. The lira in 1996: crisis of the Dini government, beginning of the Prodi government, re-entry in the ERM. - 2.7. The Lira in 1997: the Prodi government and the debate on the European Monetary Union. III. The Italian news 64 3.1. Introduction. - 3.2. Quantitative news. - 3.3. Qualitative news. - 3.3.1. The news of the Berlusconi government. - 3.3.2. The news of the Dini government. - 3.3.3. End of the Dini government. The Maccanico attempt. The elections. - 3.3.4. The news of the Prodi government. - 3.3.5. Political news that are common to all three governments. - 3.3.6. The economic news. IV. Economic and political news for Germany and the United States 71 4.1. Introduction. - 4.2. American quantitative news. - 4.3. German quantitative news. - 4.4. American and German qualitative news on the economic situation and on monetary policy. V. The events of the European Monetary Union 76 5. The historical timeline. - 5.2. The classification of events. VI. Statements by monetary and governmental authorities in the United States, Germany and Japan 80 6.1. Introduction. - 6.2. The Bundesbank. - 6.3. German government officials. - 6.4. American monetary and political authorities. - 6.5. Japanese monetary and political authorities. VII. The impact of news on exchange rates 97 7.1. Introduction and preliminary conclusions. - 7.2. A taxonomy of events in the foreign exchange markets. - 7.3. The impact of news on the exchange rate. - 7.3.1. Econometric estimation strategies. - 7.3.2. DM-USD and Yen-USD equations. - 7.3.2.1. The European trading zone. - 7.3.2.2. The United States trading zone. - 7.3.3. Lira-DM equations. VIII. Events and foreign exchange markets 136 8.1. Introduction. - 8.2. Novelties. - 8.3. The metrics of news. - 8.4. A communication model. - 8.5. Market sentiment and polarisation. - 8.6. Practical applications and further research. Bibliography 151