@inproceedings{menzio-etal-2024-unveiling,
    title = "Unveiling Currency Market Dynamics: Leveraging Federal Reserve Communications for Strategic Investment Insights",
    author = "Menzio, Martina  and
      Paris, Davide  and
      Fersini, Elisabetta",
    editor = "Chen, Chung-Chi  and
      Liu, Xiaomo  and
      Hahn, Udo  and
      Nourbakhsh, Armineh  and
      Ma, Zhiqiang  and
      Smiley, Charese  and
      Hoste, Veronique  and
      Das, Sanjiv Ranjan  and
      Li, Manling  and
      Ghassemi, Mohammad  and
      Huang, Hen-Hsen  and
      Takamura, Hiroya  and
      Chen, Hsin-Hsi",
    booktitle = "Proceedings of the Joint Workshop of the 7th Financial Technology and Natural Language Processing, the 5th Knowledge Discovery from Unstructured Data in Financial Services, and the 4th Workshop on Economics and Natural Language Processing",
    month = may,
    year = "2024",
    address = "Torino, Italia",
    publisher = "Association for Computational Linguistics",
    url = "https://aclanthology.org/2024.finnlp-1.10",
    pages = "94--102",
    abstract = "The purpose of this paper is to extract market signals for the major currencies (EUR, USD, GBP, JPY, CNY) analyzing the Federal Reserve System (FED) minutes and speeches, and, consequently, making suggestions about going long/short or remaining neutral to investors thanks to the causal relationships between FED sentiment and currency exchange rates. To this purpose, we aim to verify the hypothesis that the currency market dynamics follow a trend that is subject to the sentiment of FED minutes and speeches related to specific relevant currencies. The proposed paper has highlighted two main findings: (1) the sentiment expressed in the FED minutes has a strong influence on financial market predictability on major currencies trend and (2) the sentiment over time Granger-causes the exchange rate of currencies not only immediately but also at increasing lags according to a monotonically decreasing impact.",
}

The purpose of this paper is to extract market signals for the major currencies (EUR, USD, GBP, JPY, CNY) analyzing the Federal Reserve System (FED) minutes and speeches, and, consequently, making suggestions about going long/short or remaining neutral to investors thanks to the causal relationships between FED sentiment and currency exchange rates. To this purpose, we aim to verify the hypothesis that the currency market dynamics follow a trend that is subject to the sentiment of FED minutes and speeches related to specific relevant currencies. The proposed paper has highlighted two main findings: (1) the sentiment expressed in the FED minutes has a strong influence on financial market predictability on major currencies trend and (2) the sentiment over time Granger-causes the exchange rate of currencies not only immediately but also at increasing lags according to a monotonically decreasing impact.
Menzio, Martina Paris, Davide Fersini, Elisabetta
Unveiling Currency Market Dynamics: Leveraging Federal Reserve Communications for Strategic Investment Insights