HEALTH CRISIS AND CURRENCY RISK: FRESH EVIDENCE FROM NEW DATA SETS

Afees Salisu, Dinci J. Penzin () and Yinka S. Hammed ()
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Dinci J. Penzin: Central Bank of Nigeria, Nigeria
Yinka S. Hammed: Lagos "&" Centre for Econometrics "&" Applied Research, Ibadan, Nigeria

Bulletin of Monetary Economics and Banking, 2025, vol. 28, issue 1, 1-14

Abstract: With the aid of a method of predictability analysis that involves a feasible quasigeneralized least squares estimator, we examine the predictive power associated with the newly computed COVID-19 indices, which are disaggregated into six indices for currency market risks (realized volatility of exchange rate). Our sample size covers the period between December 31, 2019 and December 28, 2021. We note mixed outcomes or the major currency markets considered. On average, while the health crisis seems to have heightened the risks associated with Pounds Sterling, Australian Dollar and Canadian Dollar against USD, it exerts a moderating effect on the Euro, Yen and Swiss Franc against USD. However, the indices consistently demonstrate predictive prowess across multiple out-of-sample forecasts, which we adduce to the richness of the new measures.

Keywords: COVID-19; COVID-19 measures; Foreign exchange risk; Predictability; Forecast evaluation (search for similar items in EconPapers)
JEL-codes: C22 C53 F31 G11 G15 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:28:y:2025:i:1a:p:1-14

DOI: 10.59091/2460-9196.2136

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