By restoring economic openness, mitigating economic policy uncertainty, and regaining macroeconomic stability, the mass deployment of COVID-19 vaccinations should stabilize foreign exchange (FX) markets. This paper empirically examines the impact of COVID-19 vaccinations on the realized volatility of exchange rates in 30 countries/regions from January 1, 2020, to September 29, 2021. Using the heterogeneous autoregressive model with measurement errors, we find that the COVID-19 vaccine rollout stabilizes global FX markets; this result holds through a series of robustness checks. The stabilizing effect is asymmetric across the quantile levels of FX volatility distribution. Furthermore, the stabilizing effect is more pronounced in emerging markets, countries with high economic policy uncertainty, and nations with greater vaccine confidence.

通过恢复经济开放、减轻经济政策不确定性并恢复宏观经济稳定，大规模部署 COVID-19 疫苗接种应能稳定外汇 (FX) 市场。本文实证检验了 2020 年 1 月 1 日至 2021 年 9 月 29 日期间，COVID-19 疫苗接种对 30 个国家/地区的实际汇率波动的影响。利用带有测量误差的异质自回归模型，我们发现， 19 疫苗推出稳定全球外汇市场；这一结果通过了一系列稳健性检查。稳定效应在外汇波动分布的分位数水平上是不对称的。此外，稳定效应在新兴市场、经济政策不确定性较高的国家以及疫苗信心较强的国家更为明显。