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

Risultato della ricerca: Contributo in rivista › Articolo

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.

Lingua originale	Inglese
pagine (da-a)	N/A-N/A
Rivista	Economics Letters
Volume	213
Numero di pubblicazione	N/A
DOI	https://doi.org/10.1016/j.econlet.2022.110390
Stato di pubblicazione	Pubblicato - 2022

All Science Journal Classification (ASJC) codes

Finanza
Economia ed Econometria

Keywords

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

Accesso al documento

10.1016/j.econlet.2022.110390

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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",

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AU - Di Pace, Federico

AU - Masolo, Riccardo Maria

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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.

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KW - News

KW - Panel VAR

KW - free-floating currencies

KW - non free-floating currencies

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KW - Exchange rate

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KW - NFFC

KW - News

KW - Panel VAR

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KW - non free-floating currencies

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

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Exchange-rate and news: Evidence from the COVID pandemic

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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