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Foreign exchange markets, climate risks and contextual news: An intraday analysis

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  • Ayadi, Mohamed A.
  • Ben Omrane, Walid
  • Panah, Pari Gholi

Abstract

This paper examines the dynamics of the foreign exchange market, focusing on the impact of macroeconomic, climate risk, and COVID-19 pandemic-related news on currency returns and volatility. Our findings show that prior to the pandemic, currency returns were mainly driven by macroeconomic news, but the onset of COVID-19 shifted attention to pandemic-related news. Vaccine-related announcements consistently increased volatility across markets, reflecting heightened uncertainty. Additionally, climate risk was found to strengthen the four major currencies relative to the US dollar. Finally, the study highlights context-specific effects, with certain indicators losing relevance while others gained prominence during the pandemic.

Suggested Citation

  • Ayadi, Mohamed A. & Ben Omrane, Walid & Panah, Pari Gholi, 2025. "Foreign exchange markets, climate risks and contextual news: An intraday analysis," International Review of Financial Analysis, Elsevier, vol. 102(C).
    • Handle: RePEc:eee:finana:v:102:y:2025:i:c:s1057521925001905
    DOI: 10.1016/j.irfa.2025.104103
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    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G30 - Financial Economics - - Corporate Finance and Governance - - - General

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