The long-run dynamic relationship between exchange rate and its attention index: Based on DCCA and TOP method

• An attention index of CNY/USD exchange rate is constructed based on search engine.
• DCCA and TOP methods are used to explore the relation between the two time series.
• The time lead–lag structure between exchange rate and attention index is studied.

The behavior information of financial market plays a more and more important role in modern economic system. The behavior information reflected in INTERNET search data has already been used in short-term prediction for exchange rate, stock market return, house price and so on. However, the long-run relationship between behavior information and financial market fluctuation has not been studied systematically. Further, most traditional statistic methods and econometric models could not catch the dynamic and non-linear relationship. An attention index of CNY/USD exchange rate is constructed based on search data from 360 search engine of China in this paper. Then the DCCA and Thermal Optimal Path methods are used to explore the long-run dynamic relationship between CNY/USD exchange rate and the corresponding attention index. The results show that the significant interdependency exists and the change of exchange rate is 1–2 days lag behind the attention index.