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

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.