Understanding exchange rate shocks during COVID-19

Using a dynamic VAR model fitted to hourly data, we evaluate the evolution of spillover shocks from exchange rates returns of EURO, Yen, CAD and GBP. We find that over the COVID-19 sample: (a) total exchange rate shock spillovers explain around 37.7% of the forecast error variance in the exchange ra...

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Detalles Bibliográficos
Autor principal: Narayan, Paresh Kumar
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier Inc. 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8856892/
https://www.ncbi.nlm.nih.gov/pubmed/35221819
http://dx.doi.org/10.1016/j.frl.2021.102181

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC8856892/
https://www.ncbi.nlm.nih.gov/pubmed/35221819
http://dx.doi.org/10.1016/j.frl.2021.102181

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