Dmitriy Afanasyev1, Elena Fedorova2, Oleg Rogov3
  • 1 JSC Greenatom, 10 bld. 1, 1st Nagatinskiy pas., Moscow, 115230, Russian Federation
  • 2 The Financial University under the Government of the Russian Federation, 49, Leningradskiy av., Moscow, 125993, Russian Federation
  • 3 The Moscow Institute of Physics and Technology, Research Centre, 9, Institutskiy Pereulok, Dolgoprudny, 141701, Russian Federation

On the Impact of News Tonality in International Media on the Russian Ruble Exchange Rate: Textual Analysis

2019. Vol. 23. No. 2. P. 264–289 [issue contents]
This paper examines the impact of the Russia-related international news tonality on the market ruble exchange rate (in the US dollar). The dataset features 162 259 news texts from the Thomson Reuters agency, dated from January 10, 2012, to May 30, 2018. The texts are combined into 5 thematic groups: business, market, world, policy and common. To calculate the text tonality, the “bag of words” method and 5 different lexicons were used, as well as the inertia effect of the news impact on the market participants behavior was taken into account. The econometric methodology consisted of two steps: the selection of potentially significant explanatory variables based on the elastic net regression and the estimation of the ARMAX-GARCH model. As a result of modeling, it was confirmed that the dynamics of oil prices significantly affect the market ruble exchange rate, while the Bank of Russia monetary policy tool – the interbank lending rate RUONIA – was not effective in the period studied. The tonality of the news, along with the fundamental economic factors, has a systematic impact on the ruble exchange rate, which nevertheless depends on their subject matter: the most important are business news, while political messages in the media do not statistically influence the market ruble exchange rate. The obtained results are potentially applicable for the ruble exchange rate forecasting by investors, the Bank of Russia, commercial banks, investment funds and other professional market participants.
Citation: Afanasyev D., Fedorova E., Rogov O. (2019) O vliyanii tonal'nosti novostey v mezhdunarodnykh SMI na rynochnyy kurs rossiyskogo rublya: tekstovyy analiz [On the Impact of News Tonality in International Media on the Russian Ruble Exchange Rate: Textual Analysis]. HSE Economic Journal , vol. 23, no 2, pp. 264-289 (in Russian)
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