Beckmann Joscha, Czudaj Robert L
FernUniversität in Hagen, Faculty of Business Administration and Economics, Chair for Macroeconomics, Universitätsstr. 11, Hagen D-58097, Germany.
Kiel Institute for the World Economy, Hindenburgufer 66, Kiel D-24105, Germany.
J Econ Behav Organ. 2022 Apr;196:1-25. doi: 10.1016/j.jebo.2022.02.002. Epub 2022 Feb 7.
This study analyzes the impact of the COVID-19 pandemic on exchange rates based on a comprehensive set of survey forecasts for more than 50 currency pairs. At the first stage, we assess whether the policy to manage the COVID-19 pandemic affects the expected path of exchange rates over the medium and long run. At the second stage, we adopt an event study analysis and identify the occurrences of abnormal returns on foreign exchange markets since the start of the COVID-19 pandemic. Our results suggest the presence of cumulated excess returns that are partly driven by macroeconomic fundamentals for major currencies. However, we find that policy responses to the COVID-19 pandemic have the strongest effect on cumulated excess returns, showing that foreign exchange markets take expected policy effects as an important determinant of future developments into account while expectations for minor currencies react stronger to response policies.
本研究基于对50多种货币对的全面调查预测，分析了新冠疫情对汇率的影响。在第一阶段，我们评估管理新冠疫情的政策是否会影响汇率在中长期的预期走势。在第二阶段，我们采用事件研究分析方法，确定自新冠疫情爆发以来外汇市场出现异常回报的情况。我们的结果表明，主要货币存在部分由宏观经济基本面驱动的累积超额回报。然而，我们发现，针对新冠疫情的政策应对措施对累积超额回报的影响最为强烈，这表明外汇市场将预期政策效应视为未来发展的重要决定因素，而对次要货币的预期对应对政策的反应更为强烈。
