Foreign Exchange Market Response to Pandemic-Induced Fear: Evidence from (A)Symmetric Wild Bootstrap Likelihood Ratio Approach
Yazarlar (3)
Nanchang University, Çin
Adeyemi College Of Education, Nijerya
Doç. Dr. Oktay ÖZKAN
Tokat Gaziosmanpaşa Üniversitesi, Türkiye
| Makale Türü | Özgün Makale |
| Makale Alt Türü | SSCI, AHCI, SCI, SCI-Exp dergilerinde yayınlanan tam makale |
| Dergi Adı | Journal of International Trade and Economic Development |
| Dergi ISSN | 0963-8199 Wos Dergi Scopus Dergi |
| Dergi Tarandığı Indeksler | SSCI |
| Dergi Grubu | Q2 |
| Makale Dili | İngilizce |
| Basım Tarihi | 10-2021 |
| Cilt No | 30 |
| Sayı | 7 |
| Sayfalar | 988 / 1003 |
| DOI Numarası | 10.1080/09638199.2021.1922490 |
| Makale Linki | https://www.tandfonline.com/doi/full/10.1080/09638199.2021.1922490 |
| Özet |
| This study tested whether pandemic-induced fear is a predictor of the exchange rate returns of seven major currencies–Australian dollar, Canadian dollar, Swiss franc, yuan, EURO, pound sterling, and yen. Daily data on US dollar-based exchange rate returns and the global fear index for COVID-19 pandemic for the period 10-02-2020–02-04-2021 were used. Symmetric and asymmetric wild bootstrap likelihood ratio tests were employed in testing the relationship. The symmetric test results showed that pandemic-induced fear is capable of predicting the exchange rate returns of the Swiss franc, yuan, and the EURO. Specifically, negative relationships were recorded between their returns and the global fear index for pandemics. The asymmetric test results however showed that increasing pandemic-induced fear leads to decreases in the returns of the Australian dollar, Canadian dollar, Swiss franc, yuan and EURO. Overall, this study showed that pandemic-induced fear is a predictor of exchange rate returns. It is therefore suggested that the maintenance of stability in the financial system should be treated as an integral part of policy responses designed to mitigate the adverse effects of pandemics. This way, economic agents will not be forced to move their investments to foreign currency-denominated assets due to fear of investment losses. |
| Anahtar Kelimeler |
| exchange rate returns | GFI for COVID-19 pandemic | predictability | WBLR test |
BM Sürdürülebilir Kalkınma Amaçları
| Atıf Sayıları | |
| WoS | 11 |
| SCOPUS | 13 |
| Google Scholar | 18 |