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 two approaches: Covid 19 measure and Covid 19 event in which interest rate differential and stock return differential serve as controls. The dataset is weekly frequency from five ASEAN countries (Thailand, Philippines, Indonesia, Malaysia, and Singapore) with the period of January 2019-December 2020. Our main result shows that the currencies are generally resilient during the observed Covid-19 period, except for Thailand and Malaysia. They are indicated to be affected by the pandemic event. We think coordinated economic policy responses in the region significantly contribute to resiliency in ASEAN countries.

Link: Distributional Impact of Covid-19 on Currencies Return: Evidence from ASEAN