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Comparing COVID-19 with the GFC: A shockwave analysis of currency markets

I analyze the shockwave effect of the COVID-19 pandemic on currency markets, with a comparison to the global financial crisis (GFC), employing Kapetanios m-break unit root test, investigations of standalone risk measures—downside variance, upside risk, volatility skewness, Gaussian Value at Risk (Va...

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Detalles Bibliográficos
Autor principal: Gunay, Samet
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier B.V. 2021
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9756040/
https://www.ncbi.nlm.nih.gov/pubmed/36540770
http://dx.doi.org/10.1016/j.ribaf.2020.101377
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author Gunay, Samet
author_facet Gunay, Samet
author_sort Gunay, Samet
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description I analyze the shockwave effect of the COVID-19 pandemic on currency markets, with a comparison to the global financial crisis (GFC), employing Kapetanios m-break unit root test, investigations of standalone risk measures—downside variance, upside risk, volatility skewness, Gaussian Value at Risk (VaR), historical VaR, modified VaR—and Diebold–Yilmaz volatility spillover analysis. Standalone risk analysis shows that the turmoil in the initial months of COVID-19 was not as severe as that in the GFC. However, examination of co-movements and volatility spillovers illustrates a different scenario. According to the results of the static connectedness measure of Diebold–Yilmaz, the shockwave of the COVID-19 pandemic in the total volatility spillover is about eight times greater than that of the GFC. Among standalone risk measures, the results closest to this finding are obtained from volatility skewness analysis. Additionally, of six foreign exchange rates, the Brazilian real and Turkish lira are the currencies experiencing the greatest increase in received volatility during the GFC and the COVID-19 pandemic, respectively. These findings suggest the severe effect of crises on emerging financial markets.
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spelling pubmed-97560402022-12-16 Comparing COVID-19 with the GFC: A shockwave analysis of currency markets Gunay, Samet Res Int Bus Finance Full length Article I analyze the shockwave effect of the COVID-19 pandemic on currency markets, with a comparison to the global financial crisis (GFC), employing Kapetanios m-break unit root test, investigations of standalone risk measures—downside variance, upside risk, volatility skewness, Gaussian Value at Risk (VaR), historical VaR, modified VaR—and Diebold–Yilmaz volatility spillover analysis. Standalone risk analysis shows that the turmoil in the initial months of COVID-19 was not as severe as that in the GFC. However, examination of co-movements and volatility spillovers illustrates a different scenario. According to the results of the static connectedness measure of Diebold–Yilmaz, the shockwave of the COVID-19 pandemic in the total volatility spillover is about eight times greater than that of the GFC. Among standalone risk measures, the results closest to this finding are obtained from volatility skewness analysis. Additionally, of six foreign exchange rates, the Brazilian real and Turkish lira are the currencies experiencing the greatest increase in received volatility during the GFC and the COVID-19 pandemic, respectively. These findings suggest the severe effect of crises on emerging financial markets. Elsevier B.V. 2021-04 2020-12-31 /pmc/articles/PMC9756040/ /pubmed/36540770 http://dx.doi.org/10.1016/j.ribaf.2020.101377 Text en © 2020 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 Full length Article
Gunay, Samet
Comparing COVID-19 with the GFC: A shockwave analysis of currency markets
title Comparing COVID-19 with the GFC: A shockwave analysis of currency markets
title_full Comparing COVID-19 with the GFC: A shockwave analysis of currency markets
title_fullStr Comparing COVID-19 with the GFC: A shockwave analysis of currency markets
title_full_unstemmed Comparing COVID-19 with the GFC: A shockwave analysis of currency markets
title_short Comparing COVID-19 with the GFC: A shockwave analysis of currency markets
title_sort comparing covid-19 with the gfc: a shockwave analysis of currency markets
topic Full length Article
url https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9756040/
https://www.ncbi.nlm.nih.gov/pubmed/36540770
http://dx.doi.org/10.1016/j.ribaf.2020.101377
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