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

Financ Res Lett. 2022 Mar:45:102119. doi: 10.1016/j.frl.2021.102119. Epub 2021 May 11.

Authors

Yingying Xu¹, Donald Lien²

Affiliations

¹ School of Economics and Management, University of Science and Technology Beijing, Beijing, China.
² College of Business, University of Texas at San Antonio, TX, USA.

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.