| By: |
Levent Bulut (Department of Economics, Ipek University) |
| Abstract: |
In this paper, internet search data provided from Google Trends is utilized to
nowcast the known variates of alternative exchange rate determination models.
The sample covers 12 OECD countries’ exchange rates for the period from Jan
2004 to June 2014. The results indicate that inclusion of Google Trends-based
nowcasting values of macro fundamentals to the current set of government
released-macro-economic variables improve the out-of-sample forecast of
Purchasing Power Parity model in seven currency pairs and of Monetary model in
four currency pairs. In this paper we claim that, for proper testing of the
structural models, since there is a lag in the release of official data on
macro fundamentals, the literature should focus more on using ex ante
variables on current macro fundamentals and nowcasting of these variables with
utilization of Google Search Inquiries can be one alternative for this purpose. |
| Keywords: |
Meese-Rogoff Puzzle, Out-of-sample predictability of Exchange Rates, Google Trends |
| JEL: |
F31 F37 C52 |
| Date: |
2015–08 |
| URL: |
http://d.repec.org/n?u=RePEc:ipk:wpaper:1505&r=ifn |