Asymmetric impact of the COVID-19 pandemic on foreign exchange markets: Evidence from an extreme quantile approach

Authors

DOI:

https://doi.org/10.17811/ebl.12.1.2023.20-32

Keywords:

Covid-19, exchange rate, cross-quantilogram dependence, directional predictability.

Abstract

This study analyzes asymmetric transmission from the COVID-19 pandemic to major foreign exchange markets from 2 January 2020 to 2 June 2022. This paper contributes to the literature by investigating how the impact of COVID-19 on currency markets co-moves across market conditions and investment horizons. The article uses the recently developed cross-quantilogram framework to achieve this, which quantifies the cross-quantile dependency across time series without any moment condition requirement. The findings demonstrate that changes in the total daily global confirmed cases of COVID-19 can forecast changes in the currency markets under all market circumstances. These findings have significant implications for global investors and policymakers.

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Published

26-03-2023

How to Cite

Thai Hung, N., & Xuan Vinh, V. (2023). Asymmetric impact of the COVID-19 pandemic on foreign exchange markets: Evidence from an extreme quantile approach. Economics and Business Letters, 12(1), 20–32. https://doi.org/10.17811/ebl.12.1.2023.20-32

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Articles