Dynamic spillovers and connectedness between Covid-19 pandemic and global foreign exchange markets
Bibliographic Data
| ID | 15068167 |
|---|---|
| Authors | Ismail O Fasanya (0000-0001-5816-4815, Wits Business School, University of the Witwatersrand, Johannesburg, South Africa), Oluwatomisin Oyewole (Federal University of Agriculture), Oluwatomisin J Oyewole (0000-0003-2345-1587, Federal University of Agriculture, corresponding author), Oluwasegun B Adekoya (0000-0001-7238-6932, Federal University of Agriculture), Jones Odei‐Mensah (0000-0002-7086-0298, University of the Witwatersrand), Jones Odei-Mensah (Wits Business School, University of the Witwatersrand, Johannesburg, South Africa) |
| Year | 2021 |
| Volume | 34 |
| Issue | 1 |
| Pages | 2059-2084 |
| Publication date | 2021-01-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2020.1860796 |
| OpenAlex | W3114191718 |
| Language | EN |
| Citations received | 2 |
| References cited | 27 |
This paper examines dynamic spillovers and connectedness between global covid-19 occurrences and the Global FX market. We specifically analyse the spillovers using six most traded currency pairs in the world utilizing daily data for the period December 31, 2019 to April 10, 2020. The paper employs the Diebold and Yilmaz (DY hereafter) (2009, 2012) approach to compute the spillover indexes. We also consider the rolling window analyses to capture the secular and cyclical movement in the financial markets over the period of consideration. Our findings indicate high degree of interdependence between the global covid-19 occurrences and returns volatility of the majorly traded currency pairs. Interestingly, both the returns and volatility spillover indexes exhibit both trend and bursts over the period of pandemic. Our results are robust to the different VAR lag structure. Policymakers are advised to monitor the effects of global COVID-19 announcement and assess the net effect of financial market volatility on the behaviour of the global FX markets in order address new and enhanced risks caused by the upsurge of the COVID-19 pandemic
2019-20 coronavirus outbreak · Business · Economics · Pandemic · Social connectedness · COVID-19 Pandemic Impacts · Economic Sanctions and International Relations · Market Dynamics and Volatility · Medicine · Psychology · Social Psychology · Internal Medicine · Virology
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| Unique citing works | 2 |
|---|---|
| Citations per year | 0,5 |
| Citation span | 2022 - 2023 (2) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 2 |