The sentiment of official and unofficial news about sanctions: Impact on the foreign-exchange market

Subject. This article deals with sanctions and stock indices. Objectives. The article aims to assess the impact of the sentiment of news about sanctions on the foreign currency market based on the analysis of unofficial and official sources of information. Methods. For the study, we used the methods of random forest and time series econometrics (GARCH modeling). Results. The article finds that the Moscow Exchange Index, key interest rate, and Brent oil price are the main explanatory factors for the exchange rate. As for the sentiment of the news, the most significant variable turned out to be the negativity index based on news publications in RBC, the influence of subjectivity and positivity from the Harvard IV Dictionary based on Bloomberg, and positive news in Telegram. Investors pay special attention to foreign official news. Conclusions. The results of the study confirm the hypothesis about the influence of the sentiment of official and unofficial information sources on the currency market. Traders and investment managers can more accurately predict short-term fluctuations in currency rates based on the nature of news reports.