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 |
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Pages (from-to) | N/A-N/A |
Journal | Economics Letters |
Volume | 213 |
Issue number | N/A |
DOIs | |
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