a. The Relationship between Assets' Exposures to the First Difference of COVID-19 Cases and Their Exposures to Brent Crude Oil Prices.
Note: The figure presents the scatter plot of assets' exposures to the first difference of COVID-19 cases to assets' exposures to Brent crude oil prices. Assets' exposures to news of the first difference of contemporaneous cases come from a regression of daily returns on the 174 assets listed in on the first difference of the contemporaneous number of new cases, the change in the dollar/euro nominal exchange rate, the return on the aggregate French stock market, the return on the world stock market, the change in the log of the spot price for Brent crude oil, and measures of the changes in 2-year French sovereign yields driven by European Central Bank press conferences. The sample period extends from 1 January 2020 to 13 March 2020. Assets' exposures to Brent crude oil prices come from regressions of the returns on the 174 assets on the return on the aggregate French stock market, the return on the world stock market, the change in the log of the spot price for Brent crude oil, the change in the log of the dollar/euro exchange rate, measures of the changes in 2-year French sovereign yields driven by European Central Bank press conferences, and a dummy variable that equals one on 26 July 2012 when ECB President Draghi said that he would do whatever it takes to save the euro and zero otherwise. The sample period extends from 22 January 2001 to 19 January 2021. b. The Relationship between Assets' Exposures to the First Difference of COVID-19 Cases and Their Exposures to the U.S. Dollar/Euro Exchange Rate.
Note: The figure presents the scatter plot of assets' exposures to the first difference of COVID-19 cases to assets' exposures to the dollar/euro exchange rate. Assets' exposures to the first difference of contemporaneous cases come from a regression of daily returns on the 174 assets listed in on the first difference of the contemporaneous number of new cases, the change in the dollar/euro nominal exchange rate, the return on the aggregate French stock market, the return on the world stock market, the change in the log of the spot price for Brent crude oil, and measures of the changes in 2-year French sovereign yields driven by European Central Bank press conferences. The sample period extends from 1 January 2020 to 13 March 2020. Assets' exposures to the U.S. dollar/euro exchange rate come from regressions of the returns on the 174 assets on the return on the aggregate French stock market, the return on the world stock market, the change in the log of the spot price for Brent crude oil, the change in the log of the dollar/euro exchange rate, measures of the changes in 2-year French sovereign yields driven by European Central Bank press conferences, and a dummy variable that equals one on 26 July 2012 when ECB President Draghi said that he would do whatever it takes to save the euro and zero otherwise. The sample period extends from 22 January 2001 to 19 January 2021.