FX markets’ reactions to COVID-19: Are they different?()

In this paper, we empirically investigate the impact of the COVID-19 pandemic on FX markets. We find important differences between COVID-19 and previous high-risk episodes: the Global Financial Crisis, the Swiss National Bank's removal of the Swiss franc/euro floor, and Brexit. Contrary to thes...

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Detalles Bibliográficos
Autores principales: Bazán-Palomino, Walter, Winkelried, Diego
Formato: Online Artículo Texto
Lenguaje:English
Publicado: CEPII (Centre d'Etudes Prospectives et d'Informations Internationales), a center for research and expertise on the world economy. Published by Elsevier B.V. 2021
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9188658/
http://dx.doi.org/10.1016/j.inteco.2021.05.006
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author Bazán-Palomino, Walter
Winkelried, Diego
author_facet Bazán-Palomino, Walter
Winkelried, Diego
author_sort Bazán-Palomino, Walter
collection PubMed
description In this paper, we empirically investigate the impact of the COVID-19 pandemic on FX markets. We find important differences between COVID-19 and previous high-risk episodes: the Global Financial Crisis, the Swiss National Bank's removal of the Swiss franc/euro floor, and Brexit. Contrary to these episodes, the USD did not show any safe haven characteristics during the pandemic. Furthermore, the estimated volatility and non-parametric value-at-risk of three currency portfolios indicate that COVID-19 was not as risky as previous stressful events. We provide evidence that investors could minimize COVID-19 risk by investing in the Canadian dollar and the Japanese yen, and by reducing their exposure to European currencies.
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spelling pubmed-91886582022-06-13 FX markets’ reactions to COVID-19: Are they different?() Bazán-Palomino, Walter Winkelried, Diego International Economics Article In this paper, we empirically investigate the impact of the COVID-19 pandemic on FX markets. We find important differences between COVID-19 and previous high-risk episodes: the Global Financial Crisis, the Swiss National Bank's removal of the Swiss franc/euro floor, and Brexit. Contrary to these episodes, the USD did not show any safe haven characteristics during the pandemic. Furthermore, the estimated volatility and non-parametric value-at-risk of three currency portfolios indicate that COVID-19 was not as risky as previous stressful events. We provide evidence that investors could minimize COVID-19 risk by investing in the Canadian dollar and the Japanese yen, and by reducing their exposure to European currencies. CEPII (Centre d'Etudes Prospectives et d'Informations Internationales), a center for research and expertise on the world economy. Published by Elsevier B.V. 2021-10 2021-06-01 /pmc/articles/PMC9188658/ http://dx.doi.org/10.1016/j.inteco.2021.05.006 Text en © 2021 CEPII (Centre d'Etudes Prospectives et d'Informations Internationales), a center for research and expertise on the world economy. Published by Elsevier B.V. All rights reserved. Since January 2020 Elsevier has created a COVID-19 resource centre with free information in English and Mandarin on the novel coronavirus COVID-19. The COVID-19 resource centre is hosted on Elsevier Connect, the company's public news and information website. Elsevier hereby grants permission to make all its COVID-19-related research that is available on the COVID-19 resource centre - including this research content - immediately available in PubMed Central and other publicly funded repositories, such as the WHO COVID database with rights for unrestricted research re-use and analyses in any form or by any means with acknowledgement of the original source. These permissions are granted for free by Elsevier for as long as the COVID-19 resource centre remains active.
spellingShingle Article
Bazán-Palomino, Walter
Winkelried, Diego
FX markets’ reactions to COVID-19: Are they different?()
title FX markets’ reactions to COVID-19: Are they different?()
title_full FX markets’ reactions to COVID-19: Are they different?()
title_fullStr FX markets’ reactions to COVID-19: Are they different?()
title_full_unstemmed FX markets’ reactions to COVID-19: Are they different?()
title_short FX markets’ reactions to COVID-19: Are they different?()
title_sort fx markets’ reactions to covid-19: are they different?()
topic Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9188658/
http://dx.doi.org/10.1016/j.inteco.2021.05.006
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