Exchange-rate and news: Evidence from the COVID pandemic.
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ABSTRACT:
SUBMITTER: Aquilante T
PROVIDER: S-EPMC8889790 | biostudies-literature | 2022 Apr
REPOSITORIES: biostudies-literature
Publications
Exchange-rate and news: Evidence from the COVID pandemic.
Aquilante Tommaso T Di Pace Federico F Masolo Riccardo M RM
Economics letters 20220302
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. ...[more]
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