This paper examines the influence of presidential economic approval rating (PEAR) on the volatility of 15 major foreign exchange (FX) markets. The study reveals that the PEAR index serves as an insightful predictor for forecasting certain FX market volatilities, demonstrating predictive accuracy both in- and out-of-sample period. This predictability endures over longer horizons and withstands various robustness assessments. Notably, the forecasting efficacy of PEAR surpasses that of uncertainty factors and macroeconomic indicators. Additionally, we illustrate that a combined forecast incorporating all predictors enhances forecasting robustness. Finally, our findings indicate that PEAR can also elucidate future jump risks and returns in FX markets.

中文翻译：

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总统经济支持率和全球外汇市场波动


本文研究了总统经济支持率 （PEAR） 对 15 个主要外汇 （FX） 市场波动性的影响。研究表明，PEAR 指数是预测某些外汇市场波动的有洞察力的预测器，证明了样本内和样本外的预测准确性。这种可预测性持续更长的时间，并经得起各种稳健性评估。值得注意的是，PEAR 的预测效果超过了不确定性因素和宏观经济指标。此外，我们还说明了包含所有预测变量的组合预测增强了预测的稳健性。最后，我们的研究结果表明，PEAR 还可以阐明外汇市场的未来跳跃风险和回报。