What is the exchange rate volatility response to COVID-19 and government interventions?

Palm Oil Price–exchange Rate Nexus in Indonesia and Malaysia

“…While the exchange rate of the former appreciates due to a rise in palm oil price regardless of the predictive model, that of the latter only appreciates after controlling for oil price. However, both exchange rates do not seem to be resilient to the COVID-19 pandemic as they depreciate amidst dwindling palm oil price, thus validating the literature on COVID-19 and exchange rates, which suggests adverse effects of the pandemic on exchange rates (see Feng et al, 2021;Iyke, 2020;Narayan, 2020a, b;Narayan et al, 2020a;Olasehinde-Williams et al, 2021). Similar outcomes are observed for the out-of-sample predictability analysis as, on average, the palm oil-based model outperforms the benchmark model for Indonesia based on the full sample and at a longer horizon, while the reverse is the case for Malaysia.…”

“…Second, we account for the role of COVID-19 pandemic in the nexus by partitioning the data into pre-COVID-19 and COVID-19 samples, motivated by the findings of Iyke (2020) and Narayan (2020aNarayan ( , 2020b, which lend support to a strong connection between the COVID-19 pandemic and the exchange rates of both developed and emerging markets. 8 Finally, for the purpose of robustness, we control for other factors such as crude oil price (see also Ferraro et al, 2015;Salisu et al, 2019a and uncertainty due to pandemics and epidemics (see Feng et al, 2021;Iyke, 2020;Narayan 2020a, b;Narayan et al, 2020a;Olasehinde-Williams et al, 2021), given their strong connections with exchange rates. For instance, a recent study by Salisu et al (2021) provides evidence in support of the inclusion of Uncertainty to Pandemics and Epidemics (UPE) in the predictability of exchange rates.…”

Does the Vision 2030 and Value Added Tax Leads to Sustainable Economic Growth: The Case of Saudi Arabia?

“…Exchange rate volatility is also considered a factor behind lower economic growth. hence it is suggested that to maintain sustainable economic growth, maintenance of exchange rate at an optimal level is essential [4]. Exchange rate undervaluation can affect the economy both positively through knowledge spillover as well as technological progress and can affect the economy negatively through income inequality.…”

Market Openness and Its Relationship to Connecting Markets Due to COVID-19

“…For Keogh-Brown, Smith, Edmunds and Beutels [24], there is no econometric method suitable for estimating the likely cost of a pandemic, the benefits of policies to mitigate the effects of disease, or the distribution of the costs and benefits of a disease within an economy. For Kostova et al [18], the immediate economic costs of epidemics in affected regions can be substantial and are thus frequently assessed following outbreaks, as well as the economic responses implemented by governments during pandemics such as income support, fiscal measures and international aid, which all have a restrictive effect-especially on exchange rate volatility [25].…”

“…Studies of the effect that the global pandemic (COVID-19) has had on the economy, considering the trade openness of countries as a key element, are characterised according to Table 1. Benguria [22] Ibrahim [3] de la Fuente-Mella et al [11] Clark and Kassimatis [36] Volatility (Risk) Risk / SDRisk Lahmiri and Bekiros [5] Feng et al [25] Production and Open Markets GDP Moon et al [7] Tan and Yu-Hung [23] Milani and Park [32] Emerging economies (OECD and non-OECD) OCDE Tebaldi et al [37] Tiryaki [33] The method applied in this research was based on a mixed linear regression model that contains both fixed and random effects for the estimation of parameters and a mixed linear regression model corresponding to a generalisation of a linear model using the incorporation of random deviations.…”