Exchange-rate and news: Evidence from the COVID pandemic

Tommaso Aquilante, Federico Di Pace and Riccardo M. Masolo

Economics Letters, 2022, vol. 213, issue C

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.

Keywords: COVID-19; News; Exchange rate; Panel VAR (search for similar items in EconPapers)
JEL-codes: C23 C33 F31 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:213:y:2022:i:c:s0165176522000647

DOI: 10.1016/j.econlet.2022.110390

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