Asymmetric impact of the COVID-19 pandemic on foreign exchange markets: Evidence from an extreme quantile approach

• Ngo Thai Hung ^[1] ; Vo Xuan Vinh ^[2]
  1. [1] 1University of Finance-Marketing, Ho Chi Minh City, Viet Nam
  2. [2] Institute of Business Research and CFVG, University of Economics Ho Chi Minh City, Viet Nam
• Localización: Economics and Business Letters, ISSN-e 2254-4380, Vol. 12, Nº. 1, 2023, págs. 20-32
• Idioma: inglés
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• Resumen

  • This study analyzes asymmetric transmission from the COVID-19 pandemic to major foreign exchange markets from 2 January 2020 to 2 June 2022. This paper contributes to the literature by investigating how the impact of COVID-19 on currency markets co-moves across market conditions and investment horizons. The article uses the recently developed cross-quantilogram framework to achieve this, which quantifies the cross-quantile dependency across time series without any moment condition requirement. The findings demonstrate that changes in the total daily global confirmed cases of COVID-19 can forecast changes in the currency markets under all market circumstances. These findings have significant implications for global investors and policymakers.