Exchange-rate and news: Evidence from the COVID pandemic

Tommaso Aquilante, Federico Di Pace, Riccardo Maria Masolo

Research output: Contribution to journalArticle

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 languageEnglish
Pages (from-to)N/A-N/A
JournalEconomics Letters
Volume213
Issue numberN/A
DOIs
Publication statusPublished - 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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