COVID-19 and currency dependences: Empirical evidence from BRICS

Yingying Xu; Donald Lien

doi:10.1016/j.frl.2021.102119

COVID-19 and currency dependences: Empirical evidence from BRICS

Yingying Xu
, Donald Lien^*

^*Corresponding author for this work

University of Science and Technology Beijing
University of Texas at San Antonio

Research output: Contribution to journal › Article › peer-review

30 Scopus citations

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.

Original language	English
Article number	102119
Journal	Finance Research Letters
Volume	45
DOIs	https://doi.org/10.1016/j.frl.2021.102119
State	Published - Mar 2022
Externally published	Yes

Keywords

COVID-19
Copula
Dependence
Foreign exchange
GAS

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10.1016/j.frl.2021.102119

Cite this

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title = "COVID-19 and currency dependences: Empirical evidence from BRICS",

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, Copula, Dependence, Foreign exchange, GAS",

author = "Yingying Xu and Donald Lien",

note = "Publisher Copyright: {\textcopyright} 2021",

year = "2022",

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doi = "10.1016/j.frl.2021.102119",

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AU - Lien, Donald

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N2 - 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.

AB - 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.

KW - COVID-19

KW - Copula

KW - Dependence

KW - Foreign exchange

KW - GAS

UR - https://www.scopus.com/pages/publications/85106631718

U2 - 10.1016/j.frl.2021.102119

DO - 10.1016/j.frl.2021.102119

M3 - 文章

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SN - 1544-6123

VL - 45

JO - Finance Research Letters

JF - Finance Research Letters

M1 - 102119

ER -

COVID-19 and currency dependences: Empirical evidence from BRICS

Abstract

Keywords

Access to Document

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