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.
Aquilante, T., Di Pace, F., Masolo, R. M., Exchange-rate and news: Evidence from the COVID pandemic, <<ECONOMICS LETTERS>>, 2022; 213 (N/A): N/A-N/A. [doi:10.1016/j.econlet.2022.110390] [https://hdl.handle.net/10807/227693]
Exchange-rate and news: Evidence from the COVID pandemic
Masolo, Riccardo MariaInvestigation
2022
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.
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