Do Epidemics and Pandemics Have Predictive Content for Exchange Rate Movements? Evidence for Asian Economies

Afees Salisu, Lukman Lasisi and Abeeb Olaniran

Asian Economics Letters, 2021, vol. 2, issue 3, 1-6

Abstract: In this paper, we examine the predictive content of uncertainty due to pandemics and epidemics (UPE) for the exchange rate movements of selected Asian economies. Our results show evidence of superior out-of-sample predictability of a UPE-based predictive model over the benchmark model. Nonetheless, the predictability of UPE is stronger before the COVID-19 pandemic than it is after the outbreak and the resilience of the Asian economies to UPE is mixed.

Keywords: uncertainty; forecast evaluation; predictability; exchange rates (search for similar items in EconPapers)
JEL-codes: G15 I10 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (4)

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Asian Economics Letters is currently edited by Chun-Ping Chang (Shih Chien University, Taiwan) and Professor Chien-Chiang Lee (Nanchang University, China)

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