SUSTAINABILITY OF EXCHANGE RATES AND CRUDE OIL PRICES CONNECTION WITH COVID-19: AN INVESTIGATION FOR BRICS

Parul Bhatia
Additional contact information
Parul Bhatia: NEW DELHI INSTITUTE OF MANAGEMENT, NEW DELHI, INDIA

Annals - Economy Series, 2021, vol. 5, 19-29

Abstract: The study has investigated relationship between crude oil prices and exchange rates of BRICS region from 1999-2020. A comparison has been drawn in normal and COVID-19 period for analysing the cause-and-effect bivariate relationship in two different periods. The COVID-19 crisis period has been analysed along with normal period to explore differentiation between the two periods. OLS and DCC-GARCH model has been employed to empirically test the causal linkages from crude oil prices to exchange rates of BRICS group of countries. There existed a long run volatility from crude oil prices to exchange rates of BRICS countries both in normal and COVID times. The relationship may have been impacted temporarily during pandemic and crisis period. However, the causal linkage has been strong and results in both periods have been found in line with the existing literature baring minor exceptions. The policy makers and global investors may benefit from the results of the present study.

Keywords: OLS; DCC-GARCH; BRICS; exchange rate; volatility; crude oil prices (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
https://www.utgjiu.ro/revista/ec/pdf/2021-05/02_Bhatia.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cbu:jrnlec:y:2021:v:5:p:19-29

Access Statistics for this article

More articles in Annals - Economy Series from Constantin Brancusi University, Faculty of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Ecobici Nicolae ( this e-mail address is bad, please contact ).