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DO TERRORIST ATTACKS IMPACT EXCHANGE RATE BEHAVIOR? NEW INTERNATIONAL EVIDENCE
Author(s) -
Narayan Paresh Kumar,
Narayan Seema,
Khademalomoom Siroos,
Phan Dinh Hoang Bach
Publication year - 2018
Publication title -
economic inquiry
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.823
H-Index - 72
eISSN - 1465-7295
pISSN - 0095-2583
DOI - 10.1111/ecin.12447
Subject(s) - terrorism , exchange rate , currency , economics , liberian dollar , monetary economics , finance , political science , law
This study examines whether terrorist attacks affect bilateral exchange rates. Using historical 10‐minute exchange rate data for 21 countries' currency vis‐à‐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)