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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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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Elsevier Inc.
2022
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| 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 |