The Impact of News Related Covid-19 on Exchange Rate Volatility: A New Evidence From Generalized Autoregressive Score Model
Deniz ErerThe COVID-19 pandemic causes serious problems for the economy. When considering the significant impact the COVID-19 pandemic had on capital flows and global trade, it can be stated that the outbreak of this virus has caused sharp fluctuations in exchange rate markets. From this point of view, this study examines the effect of the news regarding the COVID-19 pandemic on exchange rate volatility for 12 emerging and developed countries that were most affected by the outbreak. The data covers the period between January 1, 2019 and August 31, 2022. For this purpose, we use the Generalized Autoregressive Score (GAS) model with student-t distribution, which is a new approach to measure the volatility of a financial series and to obtain the volatility clustering and fat-tail properties of a financial series. The findings of thisstudy show that panic and fake news about the COVID-19 pandemic hasincreased the volatilites of exchange rates, while media hype news decreasesthe volatilities. These resultsindicate that the negative and speculative newsregarding COVID-19 adversely affects exchange rate volatility through increasing the uncertainty of financial markets.
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APA
Erer, D. (2023). The Impact of News Related Covid-19 on Exchange Rate Volatility: A New Evidence From Generalized Autoregressive Score Model. EKOIST Journal of Econometrics and Statistics, 0(38), 105-126. https://doi.org/10.26650/ekoist.2023.38.1179575
AMA
Erer D. The Impact of News Related Covid-19 on Exchange Rate Volatility: A New Evidence From Generalized Autoregressive Score Model. EKOIST Journal of Econometrics and Statistics. 2023;0(38):105-126. https://doi.org/10.26650/ekoist.2023.38.1179575
ABNT
Erer, D. The Impact of News Related Covid-19 on Exchange Rate Volatility: A New Evidence From Generalized Autoregressive Score Model. EKOIST Journal of Econometrics and Statistics, [Publisher Location], v. 0, n. 38, p. 105-126, 2023.
Chicago: Author-Date Style
Erer, Deniz,. 2023. “The Impact of News Related Covid-19 on Exchange Rate Volatility: A New Evidence From Generalized Autoregressive Score Model.” EKOIST Journal of Econometrics and Statistics 0, no. 38: 105-126. https://doi.org/10.26650/ekoist.2023.38.1179575
Chicago: Humanities Style
Erer, Deniz,. “The Impact of News Related Covid-19 on Exchange Rate Volatility: A New Evidence From Generalized Autoregressive Score Model.” EKOIST Journal of Econometrics and Statistics 0, no. 38 (Dec. 2024): 105-126. https://doi.org/10.26650/ekoist.2023.38.1179575
Harvard: Australian Style
Erer, D 2023, 'The Impact of News Related Covid-19 on Exchange Rate Volatility: A New Evidence From Generalized Autoregressive Score Model', EKOIST Journal of Econometrics and Statistics, vol. 0, no. 38, pp. 105-126, viewed 7 Dec. 2024, https://doi.org/10.26650/ekoist.2023.38.1179575
Harvard: Author-Date Style
Erer, D. (2023) ‘The Impact of News Related Covid-19 on Exchange Rate Volatility: A New Evidence From Generalized Autoregressive Score Model’, EKOIST Journal of Econometrics and Statistics, 0(38), pp. 105-126. https://doi.org/10.26650/ekoist.2023.38.1179575 (7 Dec. 2024).
MLA
Erer, Deniz,. “The Impact of News Related Covid-19 on Exchange Rate Volatility: A New Evidence From Generalized Autoregressive Score Model.” EKOIST Journal of Econometrics and Statistics, vol. 0, no. 38, 2023, pp. 105-126. [Database Container], https://doi.org/10.26650/ekoist.2023.38.1179575
Vancouver
Erer D. The Impact of News Related Covid-19 on Exchange Rate Volatility: A New Evidence From Generalized Autoregressive Score Model. EKOIST Journal of Econometrics and Statistics [Internet]. 7 Dec. 2024 [cited 7 Dec. 2024];0(38):105-126. Available from: https://doi.org/10.26650/ekoist.2023.38.1179575 doi: 10.26650/ekoist.2023.38.1179575
ISNAD
Erer, Deniz. “The Impact of News Related Covid-19 on Exchange Rate Volatility: A New Evidence From Generalized Autoregressive Score Model”. EKOIST Journal of Econometrics and Statistics 0/38 (Dec. 2024): 105-126. https://doi.org/10.26650/ekoist.2023.38.1179575