1. DO TERRORIST ATTACKS IMPACT EXCHANGE RATE BEHAVIOR? NEW INTERNATIONAL EVIDENCE
- Author
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Narayan, Paresh Kumar, Narayan, Seema, Khademalomoom, Siroos, and Phan, Dinh Hoang Bach
- Subjects
Foreign exchange rates -- Analysis ,Terrorism -- Models -- Influence -- Analysis ,Stock markets -- Prices and rates -- Models -- Analysis ,Stock market ,Business, general ,Economics - Abstract
This study examines whether terrorist attacks affect bilateral exchange rates. Using historical 10-minute exchange rate data for 21 countries' currency vis-a-vis the U.S. dollar, we show that exchange rate returns of all countries are statistically significantly affected by terrorist attacks. Some exchange rates appreciate and some depreciate following a terrorist attack, some currencies experience exchange rate reversals while others experience a persistent effect. Generally, the effect declines but persists as terrorist attacks become stale information. (JEL F31, F37), I. INTRODUCTION Terrorism has had a lasting impact on economies and financial markets. The literature on this is rich (see, inter alia, Arin, Ciferri, and Spagnolo 2008; Brounen and Derwall [...]
- Published
- 2018
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