ABSTRACT

We provide novel evidence that disease outbreaks contain valuable information that can be used to enhance exchange rate return and volatility predictions. Our analysis exploits the novel coronavirus (COVID-19) outbreak as a good experimental setup to test our intuition. Data show that the COVID-19 outbreak has been rapid and deadly. Using the total number of infections per million, we demonstrate that COVID-19 has better predictive power over volatility than over returns for a one-day ahead forecast horizon. Conversely, COVID-19 tends to shape returns more than volatility over a five-day ahead forecast horizon. Our findings remain intact over the two forecast horizons using the total number of deaths per million as an alternative COVID-19 measure. This evidence supports a new channel of exchange rate return predictability, namely the disease outbreak channel.

摘要

我们提供了新颖的证据，表明疾病暴发中包含可用于增强汇率回报和波动率预测的宝贵信息。我们的分析利用新型冠状病毒（COVID-19）爆发作为测试我们直觉的良好实验装置。数据显示，COVID-19疫情迅速且致命。使用每百万感染总数，我们可以证明COVID-19在提前一天的预测范围内对波动的预测能力比对收益的预测能力更好。相反，在提前五天的预测期内，COVID-19的收益往往大于波动。使用每百万人的总死亡人数作为COVID-19的替代指标，我们的发现在两个预测范围内均保持不变。这些证据支持汇率收益可预测性的新渠道，