Foreign exchange markets, climate risks and contextual news: An intraday analysis

Mohamed A. Ayadi, Walid Ben Omrane and Pari Gholi Panah

International Review of Financial Analysis, 2025, vol. 102, issue C

Abstract: This paper examines the dynamics of the foreign exchange market, focusing on the impact of macroeconomic, climate risk, and COVID-19 pandemic-related news on currency returns and volatility. Our findings show that prior to the pandemic, currency returns were mainly driven by macroeconomic news, but the onset of COVID-19 shifted attention to pandemic-related news. Vaccine-related announcements consistently increased volatility across markets, reflecting heightened uncertainty. Additionally, climate risk was found to strengthen the four major currencies relative to the US dollar. Finally, the study highlights context-specific effects, with certain indicators losing relevance while others gained prominence during the pandemic.

Keywords: Foreign exchange; Contextual news; COVID-19 pandemic; Climate risk; High-frequency data (search for similar items in EconPapers)
JEL-codes: F31 G30 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:102:y:2025:i:c:s1057521925001905

DOI: 10.1016/j.irfa.2025.104103

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