This study tested whether pandemic-induced fear is a predictor of the exchange rate returns of seven major currencies – Australian dollar, Canadian dollar, Swiss franc, yuan, EURO, pound sterling, and yen. Daily data on US dollar-based exchange rate returns and the global fear index for COVID-19 pandemic for the period 10-02-2020–02-04-2021 were used. Symmetric and asymmetric wild bootstrap likelihood ratio tests were employed in testing the relationship. The symmetric test results showed that pandemic-induced fear is capable of predicting the exchange rate returns of the Swiss franc, yuan, and the EURO. Specifically, negative relationships were recorded between their returns and the global fear index for pandemics. The asymmetric test results however showed that increasing pandemic-induced fear leads to decreases in the returns of the Australian dollar, Canadian dollar, Swiss franc, yuan and EURO. Overall, this study showed that pandemic-induced fear is a predictor of exchange rate returns. It is therefore suggested that the maintenance of stability in the financial system should be treated as an integral part of policy responses designed to mitigate the adverse effects of pandemics. This way, economic agents will not be forced to move their investments to foreign currency-denominated assets due to fear of investment losses.

这项研究测试了大流行引起的恐惧是否可以预测七种主要货币的汇率回报——澳元、加元、瑞士法郎、人民币、欧元、英镑和日元。使用了 10-02-2020-02-04-2021 期间基于美元的汇率回报的每日数据和 COVID-19 大流行的全球恐惧指数。对称和非对称野生自举似然比检验被用于检验这种关系。对称测试结果表明，大流行引起的恐惧能够预测瑞士法郎、人民币和欧元的汇率回报。具体而言，他们的回报与全球流行病恐惧指数之间记录了负面关系。然而，不对称测试结果表明，由大流行引起的恐惧加剧导致澳元、加元、瑞士法郎、人民币和欧元的回报下降。总体而言，这项研究表明，大流行引起的恐惧是汇率回报的预测指标。因此，建议将维持金融体系的稳定视为旨在减轻流行病不利影响的政策应对措施的一个组成部分。这样，经济主体就不会因为害怕投资损失而被迫将投资转移到外币计价的资产上。因此，建议将维持金融体系的稳定视为旨在减轻流行病不利影响的政策应对措施的一个组成部分。这样，经济主体就不会因为害怕投资损失而被迫将投资转移到外币计价的资产上。因此，建议将维持金融体系的稳定视为旨在减轻流行病不利影响的政策应对措施的一个组成部分。这样，经济主体就不会因为害怕投资损失而被迫将投资转移到外币计价的资产上。