We develop a deep learning model to detect emotions embedded in press conferences after the Federal Open Market Committee meetings and examine influence of detected on financial markets. find that, controlling for Reserve’s actions sentiment policy texts, positive tone voices Reserve chairs leads significant increases share prices. Other variables also respond vocal cues from chairs. Hence, how...

The breakdown of the Bretton Woods system and the adoption of generalized ‡oating exchange rates ushered in a new era of exchange rate volatility and uncertainty. This increased volatility lead economists to search for economic models able to describe observed exchange rate behavior. The present is a technical Appendix to Cerrato et al. (2009) and presents detailed simulations of the proposed m...

This study examines the effects of taxes on the real exchange rate through their marginal impacts on economic activity. We develop a model that shows that an increase in the capital interest tax rate leads to real domestic currency depreciation while an increase in wage or consumption tax rates lead to a real domestic currency appreciation. These theoretical findings are supported by an empiric...

This paper assesses the day of the week effect of the daily depreciation of the Turkish lira (TL) against the US dollar (USD) and its volatility. The empirical evidence from Turkey presented here suggests that Thursdays are associated with higher and Mondays with lower depreciation rates compared to those of Wednesdays. Moreover, Mondays and Tuesdays are associated with higher volatility than W...

This paper examines the role of carry trade and momentum trading strategies and their implications for the magnitude of the forward premium anomaly. The formal analysis uses a logistic smooth transition regression, with transition variables related to the di¤erent currency trading strategies. The hypothesis of uncovered interest parity is found to hold in an upper regime where carry trades appe...

Crude oil is considered as a major resource of any developing country it may be either Oil importing or exporting countries. The present study examines the relationship between Exchange rate, and Stock market returns. analyse monthly observations from 1 st April 2003 to 31 March 2019 with help Co integration, Granger causality, Variance Decomposition. overall findings indicate significant effec...