Original scientific paper
https://doi.org/10.1080/1331677X.2021.1959368
COVID-19 and currency market: a comparative analysis of exchange rate movement in China and USA during pandemic
Chuanjian Li
Zhi-Wei Su
Tanzeela Yaqoob
Yumna Sajid
Abstract
By aiming to understand the importance of the ongoing effects of
COVID-19 on several economies, this study attempts to highlight
the impact of COVID-19 confirmed cases and deaths occurring in
the most affected countries of the world such as China and the
USA, especially in the context of their respective currencies. For
this purpose, the daily data from January 22, 2020, till May 7,
2021, has been taken into account, and then has been analyzed
to examine the linear relationship between the currency and proxies of the COVID-19 pandemic. Moreover, the (autoregressive distributed lag) ARDL model has been employed in order to fulfil the
research objective with numerous statistical diagnostic measures,
so as to validate the model. The results indicate that the exchange
rate is affected negatively due to the effect of COVID-19 cases and
deaths in particular countries. Moreover, the effect of the pandemic is not limited to the short run only, but also in the long
run, as it is hurting the financial backbone of China and the USA.
Keywords
China; COVID-19; exchange rates; ARDL; linear relationship; United States
Hrčak ID:
302283
URI
Publication date:
31.3.2023.
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