Measuring exchange rate risks during periods of uncertainty

In this paper, we empirically look at the effects of uncertainty on risk measures for exchange rates, by focusing two recent specific periods: Brexit and outbreak Covid-19. Based a Fama regression extended with measures, forecast rates in short run through quantile approach. By fitting Skewed-Student distribution to forecasts, put forward risks appreciation depreciation expected rates. We point out interesting results. First, show that increase Brexit-related is strongly associated higher future British Pound vs. Euro, as mistrust towards economy. Second, find Covid-related perceived global risk, leading flight-to-safety move toward US Dollar high emerging currencies.