Research Question: What are the implications of COVID-19 and the related government policies on the returns of the United States dollar (USD) against the Malaysian Ringgit? Motivation: The implications of a global-scale pandemic on the exchange rate are not frequently examined, especially on the role of government policies. The exchange rate movement will affect Malaysia’s economic performance as an open economy. Moreover, the suitability of government responses to the COVID-19 pandemic in exchange rate management should be investigated for future policymaking. Ideas: This paper estimates the exchange rate relationship with a few economic variables, including COVID-19 confirmed and death cases, by accounting for the high volatility in the exchange rate movement. Data: Daily data from March 3, 2020, to October 29, 2021, are analysed. The data are the confirmed and death cases of COVID-19, the COVID-19 response tracker (stringency index, containment and health index, economic support index, and government responses index), the return of the United States dollar against the Malaysian Ringgit, the weighted average of the 3-month interbank rate, FTSE Bursa Malaysia KLCI, West Texas Intermediate oil price and the United States 3-month treasury bill interest rate. The data is available from Bank Negara Malaysia, Our World in Data Databases, Blavatnik School of Government (University of Oxford), Yahoo Finance and Federal Reserve Bank of St. Louis. Method: The generalised autoregressive conditional heteroskedasticity estimation is deployed. Findings: An increase in the confirmed cases depreciates the value of the Malaysian Ringgit. Besides, the economic support initiatives bring the opposite effect. Other government policies lack robust evidence to show a significant impact on the exchange rate. Although COVID-19 and economic initiatives have an economically insignificant effect, comparing the coefficients show that the economic support initiatives could revert the implications of COVID-19 on the exchange rate. Furthermore, the stock market appreciates the examined exchange rate. Contributions: This paper provides empirical evidence of the impact of COVID-19 and the effectiveness of related responses in the Malaysian context. Besides, a few policy suggestions are given.