Has COVID-19 Changed Exchange Rate Resistance to Shocks?

Paresh Kumar Narayan ()
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Paresh Kumar Narayan: Centre for Financial Econometrics, Deakin University, Australia

Asian Economics Letters, 2021, vol. 1, issue 1, 1-4

Abstract: In this note, we propose the hypothesis that COVID-19 has influenced the Yen-US dollar exchange rate’s resistance to shocks. We propose a time varying unit root model and unravel that prior to the pandemic, the Yen was non-stationary while during the pandemic it became mostly stationary, suggesting that shocks to the Yen are having a transitory effect. We, as a result, conclude that COVID-19 has changed the resistance of the Yen to shocks.

Keywords: covid-19; yen-us dollar; shocks; exchange rate (search for similar items in EconPapers)
JEL-codes: G15 I1 (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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