COVID-19 and currency dependences: Empirical evidence from BRICS

Yingying Xu and Donald Lien

Finance Research Letters, 2022, vol. 45, issue C

Abstract: The COVID-19 has caused dramatic fluctuations in international financial markets. This paper tests the effect of this pandemic on foreign exchange dependences within the BRICS economies. Upon dividing the COVID-19 episode into four stages, we document negative effects of the COVID-19 on dependences between CNY and other currencies in the BRICS across different stages. In addition, USD flows positively affect the dependencies of BRL-CNY, INR-CNY, and RUB-CNY pairs in response to the transition of the pandemic stages.

Keywords: COVID-19; Foreign exchange; Dependence; GAS; Copula (search for similar items in EconPapers)
JEL-codes: C22 F31 G11 (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002002

DOI: 10.1016/j.frl.2021.102119

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