Impact of the COVID-19 Outbreak on the Currency Exchanges of Selected Countries

Sudhi Sharma, Miklesh Prasad Yadav and Babita Jha
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Sudhi Sharma: Fortune Institute of International Business, Delhi, India
Miklesh Prasad Yadav: ACCF, Amity University, Noida, India
Babita Jha: Christ University, Ghaziabad, India

International Journal of Sociotechnology and Knowledge Development (IJSKD), 2022, vol. 14, issue 2, 73-91

Abstract: The paper aims to analyse the impact of the COVID outbreak on the currency market. The study considers spot rates of seven major currencies (i.e., EUR/USD, USD/JPY, GBP/USD, AUD/USD, USD/CAD, USD/CHF, and CHF/JPY). To capture the impact of the outbreak on returns and the volatility of returns of seven currencies during pandemic, the study has segregated in two window periods (i.e., pre- [1st Jan 2019 to 31st Dec, 2019] and post-outbreak of COVID-19 [1st Jan, 2020 to 22nd Dec, 2020]). The study has applied various methods and models (i.e., econometric-based compounded annual growth rate [CAGR], dummy variable regression, and generalized autoregressive conditional heteroskedasticity [GARCH]). The result of the study captures the negative impact of the COVID-19 pandemic on three currencies—USD/JPY, AUD/USD, and USD/CHF—and positive significant impact on EUR/USD, GBP/USD, USD/CAD, and CHF/JPY. Investors can take short position in these while having long position in other currencies. The inferences drawn from the analysis are providing insight to investors and hedgers.

Date: 2022
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