COVID-19 and Exchange Rates: Spillover Effects of U.S. Monetary Policy

25 Pages Posted: 18 May 2020 Last revised: 14 Jun 2021

See all articles by HAKAN YILMAZKUDAY

HAKAN YILMAZKUDAY

Florida International University (FIU) - Department of Economics

Date Written: June 13, 2021

Abstract

This paper investigates the spillover effects of U.S. monetary policy on exchange rates of 11 emerging markets and 12 advanced economies during the pre-COVID-19 versus COVID-19 periods. The investigation is achieved by a structural vector autoregression model, where year-on-year changes in weekly measures of economic activity, exchange rates and policy rates are used. The empirical results suggest evidence for the spillover effects of U.S. monetary policy for several countries during the pre-COVID-19 period, whereas they have been effective only for certain countries during the COVID-19 period that can be explained by the disease outbreak channel. Important policy implications follow.

Keywords: COVID-19, Coronavirus, Exchange Rates, Monetary Policy, Reaction Function, Google Mobility, Spillover Effects

JEL Classification: E52, E58, F31, F42

Suggested Citation

Yilmazkuday, Hakan, COVID-19 and Exchange Rates: Spillover Effects of U.S. Monetary Policy (June 13, 2021). Available at SSRN: https://ssrn.com/abstract=3603642 or http://dx.doi.org/10.2139/ssrn.3603642

Hakan Yilmazkuday (Contact Author)

Florida International University (FIU) - Department of Economics ( email )

11200 SW 8th Street
Miami, FL 33199
United States

HOME PAGE: http://faculty.fiu.edu/~hyilmazk/

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