The Google trends effect on the behavior of the exchange rate Mexican peso - US dollar
We show the advantage of using Google search engine trends to forecast the volatility of the short-term (weekly) exchange rate between the Mexican peso and United States dollar. We perform a comparison of models in the literature that have used Google Trends to examine explanatory variables. Some of...
| Autores: | , , |
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| Tipo de documento: | artigo |
| Estado: | Versão publicada |
| Data de publicação: | 2019 |
| País: | México |
| Recursos: | Instituto Politécnico Nacional |
| Repositório: | Redalyc-IPN |
| OAI Identifier: | oai:redalyc.org:39571725013 |
| Acesso em linha: | https://www.redalyc.org/articulo.oa?id=39571725013 https://www.redalyc.org/journal/395/39571725013/ https://www.redalyc.org/journal/395/39571725013/html/ https://www.redalyc.org/journal/395/39571725013/39571725013.epub https://www.redalyc.org/journal/395/39571725013/movil |
| Access Level: | Acceso aberto |
| Palavra-chave: | Administración y Contabilidad C01 F31 C13 Volatility Google trends |
| Resumo: | We show the advantage of using Google search engine trends to forecast the volatility of the short-term (weekly) exchange rate between the Mexican peso and United States dollar. We perform a comparison of models in the literature that have used Google Trends to examine explanatory variables. Some of the models are based on time series, whereas others are based on the similarity function, which captures the cognitive form of human reasoning. For example, an investor who needs to know the value that a variable will take in the future will take into account relevant, known, and available information, and weigh it to calculate the forecast. We conclude that taking into account the Google Trends variable helps explains partially the behaviour of volatility; and it is necessary to incorporate more aggregation levels. Moreover, to the best of our knowledge, literature on the subject of using Google Trends to explain relevant economic variables is relatively scarce. |
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