Foreign exchange markets, climate risks and contextual news: An intraday analysis
研究了宏观经济、气候风险和新冠疫情相关新闻对外汇回报率和波动性的影响，发现疫情前回报率主要受宏观经济新闻驱动，而疫情后焦点转向疫情新闻，且气候风险使主要货币对美元升值。
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. • Climate risks lead to higher exchange rate volatility. • Countries with high exposure to climate change risks experience currency depreciation. • Before the pandemic, currency returns are primarily influenced by macroeconomic news. • The pandemic crisis shifted focus towards pandemic-related news.