Dynamic spillovers and connectedness between COVID-19 pandemic and global foreign exchange markets
| Autor: | Oluwatomisin J. Oyewole, Jones Odei-Mensah, Ismail O. Fasanya, Oluwasegun B. Adekoya |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Economics and Econometrics
2019-20 coronavirus outbreak spillover index Coronavirus disease 2019 (COVID-19) volatilities Social connectedness forecast error variance Severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) Covid-19 FX market returns vector autoregression (VAR) Economic growth development planning Monetary economics Regional economics. Space in economics covid-19 Currency HT388 Pandemic HD72-88 fx market Business Foreign exchange vector autoregression (var) |
| Zdroj: | Economic research-Ekonomska istraživanja Volume 34 Issue 1 Ekonomska Istraživanja, Vol 34, Iss 1, Pp 2059-2084 (2021) Economic Research-Ekonomska Istraživanja |
| ISSN: | 1848-9664 1331-677X |
| DOI: | 10.1080/1331677x.2020.1860796 |
| Popis: | This paper examines dynamic spillovers and connectedness between global covid-19 occurrences and the Global FX market. We specifically analyse the spillovers using six most traded currency pairs in the world utilizing daily data for the period December 31, 2019 to April 10, 2020. The paper employs the Diebold and Yilmaz (DY hereafter) (2009, 2012) approach to compute the spillover indexes. We also consider the rolling window analyses to capture the secular and cyclical movement in the financial markets over the period of consideration. Our findings indicate high degree of interdependence between the global covid-19 occurrences and returns volatility of the majorly traded currency pairs. Interestingly, both the returns and volatility spillover indexes exhibit both trend and bursts over the period of pandemic. Our results are robust to the different VAR lag structure. Policymakers are advised to monitor the effects of global COVID-19 announcement and assess the net effect of financial market volatility on the behaviour of the global FX markets in order address new and enhanced risks caused by the upsurge of the COVID-19 pandemic. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|