ABSTRACT
The paper aims to examine the ability of a global fear index (GFI) based on the COVID-19 pandemic and government policy responses as a measure of uncertainty in predicting eight Indian rupee-based exchange rate return series: the Australian dollar, the Canadian dollar, the Swiss franc, the US dollar, the euro, the British pound sterling, the New Zealand dollar, and the Japanese yen. The predictability of the daily Indian rupee-based exchange rate return series is tested using the recently developed wild bootstrap likelihood ratio test of Kim and Shamsuddin for the period 2 October 2020 to 8 March 2021. Both symmetric and asymmetric tests revealed GFI as an insignificant determinant of the Indian rupee-based exchange rate return series. However, government policy responses are a significant determinant of the rupee-dollar exchange rate return series.