International currency markets and the COVID‐19 pandemic

IF 1.1 4区 经济学 Q3 ECONOMICS
Hsuan Fu, Jui‐Chung Yang
{"title":"International currency markets and the COVID‐19 pandemic","authors":"Hsuan Fu, Jui‐Chung Yang","doi":"10.1111/1468-0106.12409","DOIUrl":null,"url":null,"abstract":"Abstract We find that quantifying COVID‐19 pandemic shocks is critical to understanding international currency market returns. Scaled by population, shocks from between‐country differences in the number of weekly COVID‐19 deaths are informative in predicting exchange rate returns. Following Alfaro et al. (2020), we estimate the expected number of COVID‐19 deaths based on an exponential model and use it to construct two pandemic shocks that measure the unanticipated number of deaths on a weekly basis and the time‐varying correction of forecast provided new information from the previous week. We document negative impacts of COVID‐19 propagation on currency returns. In addition, we find that the government response, in particular fiscal and monetary stimulus packages, can help mitigate negative effects of COVID‐19 on currency returns. Our findings are robust to country‐specific pandemic measures, window sizes of the exponential model, and the choice of forecast model.","PeriodicalId":46516,"journal":{"name":"Pacific Economic Review","volume":"27 1","pages":"400 - 422"},"PeriodicalIF":1.1000,"publicationDate":"2022-10-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Pacific Economic Review","FirstCategoryId":"96","ListUrlMain":"https://doi.org/10.1111/1468-0106.12409","RegionNum":4,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"ECONOMICS","Score":null,"Total":0}
引用次数: 1

Abstract

Abstract We find that quantifying COVID‐19 pandemic shocks is critical to understanding international currency market returns. Scaled by population, shocks from between‐country differences in the number of weekly COVID‐19 deaths are informative in predicting exchange rate returns. Following Alfaro et al. (2020), we estimate the expected number of COVID‐19 deaths based on an exponential model and use it to construct two pandemic shocks that measure the unanticipated number of deaths on a weekly basis and the time‐varying correction of forecast provided new information from the previous week. We document negative impacts of COVID‐19 propagation on currency returns. In addition, we find that the government response, in particular fiscal and monetary stimulus packages, can help mitigate negative effects of COVID‐19 on currency returns. Our findings are robust to country‐specific pandemic measures, window sizes of the exponential model, and the choice of forecast model.
国际货币市场与COVID - 19大流行
摘要我们发现,量化2019冠状病毒病疫情冲击对于理解国际货币市场回报至关重要。以人口为单位,国家间每周新冠肺炎死亡人数差异带来的冲击在预测汇率回报方面提供了信息。继Alfaro等人(2020)之后,我们基于指数模型估计了2019冠状病毒病的预期死亡人数,并用它构建了两个大流行冲击,每周测量意外死亡人数,预测的时变修正提供了前一周的新信息。我们记录了2019冠状病毒病传播对货币回报的负面影响。此外,我们发现,政府的应对措施,特别是财政和货币刺激计划,可以帮助减轻2019冠状病毒病对货币回报的负面影响。我们的研究结果对特定国家的疫情措施、指数模型的窗口大小和预测模型的选择都是稳健的。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
求助全文
约1分钟内获得全文 求助全文
来源期刊
CiteScore
2.70
自引率
0.00%
发文量
34
期刊介绍: The Pacific Economic Review (PER) publishes high-quality articles in all areas of economics, both the theoretical and empirical, and welcomes in particular analyses of economic issues in the Asia-Pacific area. Published five times a year from 2007, the journal is of interest to academic, government and corporate economists. The Pacific Economic Review is the official publication of the Hong Kong Economic Association and has a strong editorial team and international board of editors. As a highly acclaimed journal, the Pacific Economic Review is a source of valuable information and insight. Contributors include Nobel Laureates and leading scholars from all over the world.
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信