TY - JOUR
AU - Pham, Son
AU - Nguyen, Thao T.T.
AU - Li, Xiao-Ming
PY - 2023
DA - December
TI - Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations
JO - Global Finance Journal
VL - 59
DO - https://doi.org/10.1016/j.gfj.2023.100923
AB - By restoring economic openness, mitigating economic policy uncertainty, and regaining macroeconomic stability, the mass deployment of COVID-19 vaccinations should stabilize foreign exchange (FX) markets. This paper empirically examines the impact of COVID-19 vaccinations on the realized volatility of exchange rates in 30 countries/regions from January 1, 2020, to September 29, 2021. Using the heterogeneousautoregressive modelwith measurement errors, we find that the COVID-19 vaccine rollout stabilizes global FX markets; this result holds through a series of robustness checks. The stabilizing effect is asymmetric across the quantile levels of FX volatility distribution. Furthermore, the stabilizing effect is more pronounced in emerging markets, countries with high economic policy uncertainty, and nations with greater vaccine confidence.
PB - Elsevier
UR - https://hdl.handle.net/2164/22655
KW - Coronavirus (COVID-19)
ER