Exchange-rate and news: Evidence from the COVID pandemic()

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. Thi...

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Detalles Bibliográficos
Autores principales: Aquilante, Tommaso, Di Pace, Federico, Masolo, Riccardo M.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Bank of England. Published by Elsevier B.V 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8889790/
https://www.ncbi.nlm.nih.gov/pubmed/35250126
http://dx.doi.org/10.1016/j.econlet.2022.110390
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author Aquilante, Tommaso
Di Pace, Federico
Masolo, Riccardo M.
author_facet Aquilante, Tommaso
Di Pace, Federico
Masolo, Riccardo M.
author_sort Aquilante, Tommaso
collection PubMed
description 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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spelling pubmed-88897902022-03-02 Exchange-rate and news: Evidence from the COVID pandemic() Aquilante, Tommaso Di Pace, Federico Masolo, Riccardo M. Econ Lett Article 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. The Bank of England. Published by Elsevier B.V 2022-04 2022-03-02 /pmc/articles/PMC8889790/ /pubmed/35250126 http://dx.doi.org/10.1016/j.econlet.2022.110390 Text en © 2022 The Bank of England. Published by Elsevier B.V. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Aquilante, Tommaso
Di Pace, Federico
Masolo, Riccardo M.
Exchange-rate and news: Evidence from the COVID pandemic()
title Exchange-rate and news: Evidence from the COVID pandemic()
title_full Exchange-rate and news: Evidence from the COVID pandemic()
title_fullStr Exchange-rate and news: Evidence from the COVID pandemic()
title_full_unstemmed Exchange-rate and news: Evidence from the COVID pandemic()
title_short Exchange-rate and news: Evidence from the COVID pandemic()
title_sort exchange-rate and news: evidence from the covid pandemic()
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8889790/
https://www.ncbi.nlm.nih.gov/pubmed/35250126
http://dx.doi.org/10.1016/j.econlet.2022.110390
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