Font Size: 
Distributional Impact of Covid-19 on Currencies Return: Evidence from ASEAN.
Kevin ., Moch Doddy Ariefianto

Last modified: 2021-06-10

Abstract


The purpose of this study is to analyze the distributional impact of the Covid-19 pandemic on currency return in ASEAN countries. The Distributional impact would give us a more comprehensive understanding of the relationship between the Covid-19 to currencies return. We model the relationship using quantile regression with 3 types of Covid-19 proxy (cases, stringency index, and dummy variable) in which interest rate differential and stock return differential serve as controls. Dataset is of weekly data from 5 ASEAN countries (Thailand, The Philippines, Indonesia, Malaysia, and Singapore) with period: January 2019-December 2020. Our main result shows that the currencies are generally resilient during the observed Covid-19 period, except for Thailand and Indonesia that shows indication of being affected by the global pandemic event. We think coordinated economic policy responses in the region greatly contribute to resiliency in ASEAN countries.


Keywords


Quantile, Regression, Currency, ASEAN.

Full Text: XML