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. This effect is more pronounced for free-floating economies.
Competing Interests: One or more of the authors of this paper have disclosed potential or pertinent conflicts of interest, which may include receipt of payment, either direct or indirect, institutional support, or association with an entity in the biomedical field which may be perceived to have potential conflict of interest with this work. For full disclosure statements refer to https://doi.org/10.1016/j.econlet.2022.110390. Federico Di Pace and Riccardo M. Masolo are currently employed by the Bank of England. Tommaso Aquilante currently works for Dun and Bradstreet and was previously employed by the Bank of England while working on this paper.
(© 2022 Published by Elsevier B.V.)