Dynamic spillovers and connectedness between COVID-19 pandemic and global foreign exchange markets

Dynamic spillovers and connectedness between COVID-19 pandemic and global foreign exchange markets

This paper examines dynamic spillovers and connectedness between global covid-19 occurrences and the Global FX market. We specifically analyse the spillovers using six most traded currency pairs in the world utilizing daily data for the period December 31, 2019 to April 10, 2020. The paper employs t...

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Bibliographic Details
Main Authors: Ismail O. Fasanya, Oluwatomisin Oyewole, Oluwasegun B. Adekoya, Jones Odei-Mensah
Format: Article
Language:English
Published: Taylor & Francis Group 2021-01-01
Series:Ekonomska Istraživanja
Subjects:
covid-19
fx market
returns
volatilities
vector autoregression (var)
forecast error variance
spillover index
Online Access:http://dx.doi.org/10.1080/1331677X.2020.1860796

Internet

http://dx.doi.org/10.1080/1331677X.2020.1860796

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