Exchange-rate and news: Evidence from the COVID pandemic.

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.

SUBMITTER: Aquilante T 

PROVIDER: S-EPMC8889790 | biostudies-literature | 2022 Apr

REPOSITORIES: biostudies-literature