Analysis of the Impact of Financial News on the Exchange Rate

Diana A. Petrova – Researcher of the Russian Presidential Academy of National Economy and Public Administration (Moscow, Russia). E-mail: This email address is being protected from spambots. You need JavaScript enabled to view it.

In this article, indicators of sentiment in financial markets are assessed based on text analysis of news articles by a major online media RBC during 2013-2020. The impact of news indicators on the nominal USD/RUB exchange rate is assessed using EGARCH (1,1) model. The results showed that the increased uncertainty in financial markets causes depreciation of the ruble and an increase its volatility.

Key words: text analysis, topic modeling, exchange rate, machine learning, EGARCH.