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

Fasanya, Ismail O.; Oyewole, Oluwatomisin J.; Adekoya, Oluwasegun B.; Mensah, Jones Odei

doi:10.1080/1331677x.2020.1860796

Cited by 48 publications

(49 citation statements)

References 29 publications

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“…Therefore, COVID-19 has become a grave concern for the world population and economies. The adverse impacts of pandemics, epidemics, economic crisis, a natural disaster on different macroeconomic variables is not a new phenomenon, and numerous literature supports it, for example, Fasanya et al (2020); McKibbin and Fernando (2020); and Shaikh (2020).…”

Section: Introductionmentioning

confidence: 99%

COVID-19 pandemic and unemployment dynamics in European economies

Dai

Ullah

et al. 2021

Economic Research-Ekonomska Istraživanja

149

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This study goal to scrutinize the influences of the COVID-19 pandemic on unemployment in five selected European economies. To this end, the study uses a Fourier causality test for the period of December-2019 to December-2020. In Z-test results, Germany, Spain, and the UK have a significant positive change in unemployment due to COVID-19. The finding shows that COVID-19 cases cause unemployment for Germany, Italy, and the UK. Moreover, in terms of deaths, COVID-19 also causes unemployment in Italy and UK. Overall, the study's outcomes highlight that the pandemic increases the unemployment rate robustly in the mostly European economies. That is one of the rare negative effects of the virus on the European labor market. Novel COVID-19 findings provide a reliable guide to the future policy implication for the labor market. An active labor market policy will be needed to be in front of the world urgently.

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Section: Introductionmentioning

confidence: 99%

COVID-19 pandemic and unemployment dynamics in European economies

Dai

Ullah

et al. 2021

Economic Research-Ekonomska Istraživanja

149

View full text Add to dashboard Cite

show abstract

“…The results show the importance of essential categories for rethinking the workplace after COVID-19 and for the whole process of change in the workplace (de Lucas Ancillo et al 2020 ). The service industry also suffers impacts from global foreign exchange markets volatility and uncertainty (Fasanya et al 2020 ). This study searches to determine the connectedness and spillover effects of COVID-19 currency pairs around the world.…”

Section: Literature Reviewmentioning

confidence: 99%

Explaining COVID-19 shock wave mechanism in the European service industry using convergence clubs analysis

Škare

Soriano

2021

Serv Bus

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“…Katusiime (2019) evaluated the spillover effects between foreign exchanges and found conditional volatility among currency rates and commodity price in Uganda. Most recently, Fasanya et al (2020) investigated the dynamic spillovers and connectedness between the COVID-19 pandemic and global foreign exchange markets. They found a high degree of interdependence between the global COVID-19 occurrences and the returns' volatility of the majorly traded currency pairs.…”

Section: Related Literaturementioning

confidence: 99%

“…In this paper, we have based our measurements of return and volatility spillovers on vector autoregressive (VAR) models, which have been laid out in recent studies Palanska (2018), Mensi et al (2018), andFasanya et al (2020). As compared with other methodologies such as MGARCH and the realised volatility (RV) estimator, the VAR provides strikingly accurate results using high-frequency data.…”

Section: Related Literaturementioning

confidence: 99%

Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets

Mohammed

2021

JRFM

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In this paper, we investigate the “static and dynamic” return and volatility spillovers’ transmission across developed and developing countries. Quoted against the US dollar, we study twenty-three global currencies over the time period 2005–2016. Focusing on the spillover index methodology, the generalised VAR framework is employed. Our findings indicate no evidence of bi-directional return and volatility spillovers between developed and developing countries. However, unidirectional volatility spillovers from developed to developing countries are highlighted. Furthermore, our findings document significant bi-directional volatility spillovers within the European region (Eurozone and non-Eurozone currencies) with the British pound sterling (GBP) and the Euro (EUR) as the most significant transmitters of volatility. The findings reiterate the prominence of volatility spillovers to financial regulators.

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

Cited by 48 publications

References 29 publications

COVID-19 pandemic and unemployment dynamics in European economies

COVID-19 pandemic and unemployment dynamics in European economies

Explaining COVID-19 shock wave mechanism in the European service industry using convergence clubs analysis

Volatility Spillovers among Developed and Developing Countries: The Global Foreign Exchange Markets

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