COVID-19 and Exchange Rates: Spillover Effects of U.S. Monetary Policy

Hakan Yilmazkuday

No 2210, Working Papers from Florida International University, Department of Economics

Abstract: This paper investigates the spillover effects of U.S. monetary policy on exchange rates of 11 emerging markets and 12 advanced economies during the pre-COVID-19 period of 2019 versus the COVID-19 period of 2020. The investigation is achieved by a structural vector autoregression model, where year-on-year changes in weekly measures of economic activity, exchange rates and policy rates are used. The empirical results suggest evidence for the spillover effects of U.S. monetary policy for several countries during the pre-COVID-19 period, whereas they have been effective only for certain countries during the COVID-19 period that can be explained by the disease outbreak channel. It is implied that policies keeping the pandemic under control may help mitigate the unforeseen economic effects of the COVID-19 crisis.

Keywords: COVID-19; Coronavirus; Exchange Rates; Monetary Policy; Spillover Effects (search for similar items in EconPapers)
JEL-codes: E52 E58 F31 F42 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2022-06
New Economics Papers: this item is included in nep-cba, nep-mon and nep-opm
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https://economics.fiu.edu/research/pdfs/2022_working_papers/2210.pdf First version, 2022 (application/pdf)

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Journal Article: COVID-19 and Exchange Rates: Spillover Effects of U.S. Monetary Policy (2022)
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Persistent link: https://EconPapers.repec.org/RePEc:fiu:wpaper:2210

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