Exchange-rate and news: Evidence from the COVID pandemic

Tommaso Aquilante; Federico Di Pace; Riccardo Maria Masolo

doi:10.1016/j.econlet.2022.110390

Exchange-rate and news: Evidence from the COVID pandemic

Tommaso Aquilante, Federico Di Pace, Riccardo Maria Masolo

Bank of England

Research output: Contribution to journal › Article

Abstract

We estimate daily linear regressions and panel VAR to study the effect of Covid-19 news on exchange rates. We find that adverse pandemic news at the country level cause an immediate, statistically significant, depreciation of the domestic currency vis-à-vis a basket of trade-weighted currencies. This effect is more pronounced for free-floating economies.

Original language	English
Pages (from-to)	N/A-N/A
Journal	Economics Letters
Volume	213
Issue number	N/A
DOIs	https://doi.org/10.1016/j.econlet.2022.110390
Publication status	Published - 2022

All Science Journal Classification (ASJC) codes

Finance
Economics and Econometrics

Keywords

COVID-19
Exchange rate
FFC
NFFC
News
Panel VAR
free-floating currencies
non free-floating currencies

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10.1016/j.econlet.2022.110390

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title = "Exchange-rate and news: Evidence from the COVID pandemic",

abstract = "We estimate daily linear regressions and panel VAR to study the effect of Covid-19 news on exchange rates. We find that adverse pandemic news at the country level cause an immediate, statistically significant, depreciation of the domestic currency vis-{\`a}-vis a basket of trade-weighted currencies. This effect is more pronounced for free-floating economies.",

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author = "Tommaso Aquilante and {Di Pace}, Federico and Masolo, {Riccardo Maria}",

year = "2022",

doi = "10.1016/j.econlet.2022.110390",

language = "English",

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T1 - Exchange-rate and news: Evidence from the COVID pandemic

AU - Aquilante, Tommaso

AU - Di Pace, Federico

AU - Masolo, Riccardo Maria

PY - 2022

Y1 - 2022

N2 - We estimate daily linear regressions and panel VAR to study the effect of Covid-19 news on exchange rates. We find that adverse pandemic news at the country level cause an immediate, statistically significant, depreciation of the domestic currency vis-à-vis a basket of trade-weighted currencies. This effect is more pronounced for free-floating economies.

AB - We estimate daily linear regressions and panel VAR to study the effect of Covid-19 news on exchange rates. We find that adverse pandemic news at the country level cause an immediate, statistically significant, depreciation of the domestic currency vis-à-vis a basket of trade-weighted currencies. This effect is more pronounced for free-floating economies.

KW - COVID-19

KW - Exchange rate

KW - FFC

KW - NFFC

KW - News

KW - Panel VAR

KW - free-floating currencies

KW - non free-floating currencies

KW - COVID-19

KW - Exchange rate

KW - FFC

KW - NFFC

KW - News

KW - Panel VAR

KW - free-floating currencies

KW - non free-floating currencies

UR - https://publicatt.unicatt.it/handle/10807/227693

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SP - N/A-N/A

JO - Economics Letters

JF - Economics Letters

IS - N/A

ER -

Exchange-rate and news: Evidence from the COVID pandemic

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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