Exchange-rate and news: Evidence from the COVID pandemic

Aquilante, Tommaso; Pace, Federico Di; Masolo, Riccardo M.

doi:10.1016/j.econlet.2022.110390

Cited by 11 publications

(9 citation statements)

References 12 publications

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“…Other founding also revealed that the news on COVID cases causes a depreciation in domestic exchange rate. The fact that currency rates react considerably and very swiftly to change in fundamentals, is confirmed by this [3]. In addition, the policy responses and macroeconomics fundamentals also affected the abnormal exchange rate returns [4].…”

Section: Introductionsupporting

confidence: 59%

The Effects of COVID-19 Epidemic on the AUD/CNY Currency Exchange Rate

Li¹

2023

BCPBM

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Contemporarily, the COVID-19 has affected various fields around the world, which has strongly affected the global economy. As a macroeconomic indicators, exchange rate might has been influenced at least in some exytents. On this basis, this article examines empirically whether the COVID-19 outbreak has an impact on the Australian foreign exchange markets in terms of SARIMA and LSTM models. The results are obtained and analyzed based on daily AUD/CNY exchange rate data with one-year time intervals from 2018 to 2021. According to the analysis of the RMSE values of the SARIMA and LSTM models, it is revealed that the Australian foreign exchange market experienced a transitory shock. Thus, some possible explanations for the shock are put forth. Assuming the Efficient Market Hypothesis holds, these included the Australian lock-down policy, a shift in confidence, and the conventional Uncovered Interest Parity theorem. Overall, these results shed light on guiding further explortaion of currency exchange rates variations during pandemic.

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Section: Introductionsupporting

confidence: 59%

The Effects of COVID-19 Epidemic on the AUD/CNY Currency Exchange Rate

Li¹

2023

BCPBM

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“…Moreover, the authors concluded that the COVID-19 pandemic modified the market expectations about the future exchange rate movements. Aquilante et al (2022) showed that the COVID-19 pandemic induces a depreciation of the domestic currencies relative to currencies of the trading partners confirming that the exchange rate reacted quickly to the exogenous shocks. Conducting an analysis on nine exchange rates of European countries, Klose (2022) revealed that the COVID-19 pandemic caused the depreciation of the domestic currencies relative to euro.…”

Section: Literature Reviewmentioning

confidence: 92%

The Euro exchange rate's resistance to the exogenous shock caused by COVID-19

Balaban,

Milenković,

Joksimović

2023

Strategic Management

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Background: The COVID-19 pandemic represents the greatest exogenous global shock in the last few decades, which has deeply affected the macroeconomic aggregates around the world. Bearing in mind that COVID-19 pandemic is an exogenous shock; its effect on the macroeconomic aggregates will take time to be analysed, while it has a persistent impact on the financial markets. Purpose: One-third of the transactions worldwide includes the Euro. Hence, the main objective of this study is to estimate the Euro exchange rate's resistance to the exogenous shock caused by the COVID-19 pandemic. Study design/methodology/approach: This paper employs the General AutoRegressive Conditional Heteroskedasticity (GARCH) model to examine the EUR/USD exchange rate's resistance to the global exogenous shock caused by the COVID-19. In other words, the authors try to find an answer to question whether the COVID-19 pandemic affects the EUR/USD exchange rate volatility. Finding/conclusions: The results show that the COVID-19 pandemic has no effect on the EUR/USD exchange rate volatility in the long run. These results may confirm our assumption of the resistance of the financial market to the exogenous shock and are useful for anyone needing forecasts of the exchange rate futures movements. The obtained results produce pragmatic expertise in order to manage exchange rate risk and should support policymakers to advance exchange rate policy. Limitations/future research: As a limitation of this study, the authors state the estimation of the Euro exchangeratès resistance to only one exogenous shock, caused by COVID-19. Bearing in mind that in the considered period was also the world economic crises which might have caused a higher volatility then COVID-19, for further research the authors propose an examination of the detailed estimation of the Euro exchangeratès resistance to different exogenous shocks.

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“…Determinants of long‐term exchange rate fluctuation also include the relative labor productivity of different countries (Berka et al, 2018; Canzoneri et al, 1999), and the structural factors underlying each country's GDP, trade balance, and net foreign asset positions (Bergstrand, 1991; Clague, 1986; Faruqee, 1995; Kharrat et al, 2020). In the short‐run, numerous macro‐economic factors will affect the fluctuation of the exchange rate of one country's currency against those of other countries, including money supply (Cheung et al, 2019; Funashima, 2020), inflation (Ito & Sato, 2008), interest rate gap between domestic and foreign countries (Hansen & Hodrick, 1980; Schmitt‐Grohé & Uribe, 2022), international capital flows and capital controls (Calvo et al, 1993; Dooley & Isard, 1980), expectations (Mussa, 1982), political factors (Frieden, 1994; Korus & Celebi, 2019), foreign exchange interventions (Daude et al, 2016; Vargas‐Herrera & Villamizar‐Villegas, 2020), stock prices (Nusair & Olson, 2022), and news (Aquilante et al, 2022; Frenkel, 1982; Narayan et al, 2021). These factors will help estimate a benchmarking of the exchange rate of an economy.…”

Section: Literature Reviewmentioning

confidence: 99%

China–US economic and trade relations, trade news, and short‐term fluctuation of the RMB exchange rate

Wei

Chen

2022

Rev International Economics

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The trade war between the US and China affects the fluctuation of RMB exchange rate. We collect news on China-US trade policies and talks from January 2017 to July 2020. Results show that China-US dialogue and tariff imposition have the greatest impact on the percentage of RMB appreciation and depreciation. Additionally, tariff relaxation and increasing enterprise restrictions can cause a sharp appreciation and depreciation. "Policies" events and trade news from the US influence RMB fluctuations the most significantly. Finally, positive events cannot significantly cause RMB appreciation, but negative events can significantly cause RMB devaluation.

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Exchange-rate and news: Evidence from the COVID pandemic

Cited by 11 publications

References 12 publications

The Effects of COVID-19 Epidemic on the AUD/CNY Currency Exchange Rate

The Effects of COVID-19 Epidemic on the AUD/CNY Currency Exchange Rate

The Euro exchange rate's resistance to the exogenous shock caused by COVID-19

China–US economic and trade relations, trade news, and short‐term fluctuation of the RMB exchange rate

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