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Do Epidemics and Pandemics Have Predictive Content for Exchange Rate Movements? Evidence for Asian Economies

Author

Listed:
  • Afees A. Salisu
  • Lukman Lasisi
  • Abeeb Olaniran

    (Centre for Econometric & Allied Research, University of Ibadan, Nigeria)

Abstract

In this paper, we examine the predictive content of uncertainty due to pandemics and epidemics (UPE) for the exchange rate movements of selected Asian economies. Our results show evidence of superior out-of-sample predictability of a UPE-based predictive model over the benchmark model. Nonetheless, the predictability of UPE is stronger before the COVID-19 pandemic than it is after the outbreak and the resilience of the Asian economies to UPE is mixed.

Suggested Citation

  • Afees A. Salisu & Lukman Lasisi & Abeeb Olaniran, 2021. "Do Epidemics and Pandemics Have Predictive Content for Exchange Rate Movements? Evidence for Asian Economies," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(3), pages 1-6.
    • Handle: RePEc:ayb:jrnael:41
    DOI: 2021/10/06
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    References listed on IDEAS

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    4. Yu-Chin Chen & Kenneth S. Rogoff & Barbara Rossi, 2010. "Can Exchange Rates Forecast Commodity Prices?," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 125(3), pages 1145-1194.
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    Cited by:

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    2. Dahal, Ashmita & Byanjankar, Rohan & Jangam, Bhushan Praveen & Rath, Badri Narayan, 2025. "Reassessing the role of exchange rates in export dynamics: Evidence from a disaggregated industry-level analysis in the case of Nepal," Economic Analysis and Policy, Elsevier, vol. 85(C), pages 1752-1759.
    3. Terver Kumeka & Oluwatosin Adeniyi, 2023. "Stock markets response to contagious disease: Evidence on the impact of COVID‐19 in the three worst hit African economies," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4476-4499, October.
    4. Lama, Anil & Budha, Birendra Bahadur & Prabhesh, K.P. & Rana, Sona, 2025. "Exchange rate pass-through in Nepal," Journal of Asian Economics, Elsevier, vol. 97(C).
    5. Gia Zoidze & George Abuselidze, 2021. "Covid-19 Pandemic And Currency Risk Analysis In Georgia," Entrepreneurship, Faculty of Economics, SOUTH-WEST UNIVERSITY "NEOFIT RILSKI", BLAGOEVGRAD, vol. 9(2), pages 33-46.
    6. Rizvi, Syed Aun R. & Pathirage, Kasun, 2023. "COVID-19 policy actions and inflation targeting in South Asia," Journal of Asian Economics, Elsevier, vol. 84(C).

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    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • I10 - Health, Education, and Welfare - - Health - - - General

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