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Exchange rate effects of US government shutdowns: evidence from both developed and emerging markets
journal contributionposted on 2019-09-01, 00:00 authored by Susan SharmaSusan Sharma, D H Bach Phan, Paresh Narayan
We examine the exchange rate effects of US government shutdowns using historical exchange rate data covering 19 episodes of government shutdowns. We find that major currency exchange rates generally tend to appreciate vis-à-vis the US dollar, and foreign exchange volatility tends to increase in response to shutdowns. We show that the effect of shutdowns is felt most one day after a shutdown and the effect dies out for most currencies within five days of a shutdown. These results pass a range of robustness tests which control for day-of-the-week effects, model specifications, and the Global Financial Crisis.
JournalEmerging markets review
Pagination1 - 15
LocationAmsterdam, The Netherlands
Publication classificationC1 Refereed article in a scholarly journal
Copyright notice2019, Elsevier B.V.
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