Effect of COVID-19 on the relationship between Euro/USD exchange rate and oil price

Abstract

We investigate the relationship between the Euro-United States Dollar (Euro/USD) exchange rate and oil futures price using intra-day data. The dataset is on hourly basis from 01/07/2019 to 30/11/2020 and 17-hour per day, from 01:00am to 17:00pm. By employing a predictive regression model, we observe oil price has influenced Euro/USD exchange rate but the evidence is very limited. Further, when we control for the effect of COVID-19, this relationship vanishes. Overall, COVID-19 shows some effect on the exchange rate during March 2020. There is no predictive ability of oil price on Euro/USD exchange rate after controlling for COVID-19.

Oil Price, Gold Price, Exchange Rate and Stock Market in Iraq Pre-During Covid19 Outbreak: An Ardl Approach

“…It implies that the changing in gold price is not changing the closing price of the general index (ISX60) of Iraq stock exchange, this insignificant gold price back to the small-capitalization volume of the market with little trading share transactions of the Iraq stock exchange and still the market is local in nature and not efficient (Asaad, 2014a). In addition, they have revealed a negative but insignificant, the effect of exchange rate on the closing price of the general index (ISX60) of Iraq stock exchange in the short run, the results have come in line with some other past studies (Devpura, 2021;Parsva and Lean, 2017) and show an inconsistent with other previous studies (Utama and Puryandani, 2020;Ali et al, 2020;Lee and Zhao, 2014). It implies that changing in the exchange rate is not changing the closing price of the general index of Iraq stock exchange, this insignificant exchange rate is due to the fact that the success of the financial policy set by the Central Bank during the period of Akawi and Salman, 2014).…”

“…The stock market reacts to various major events, such as pandemic diseases (Devpura, 2021;Kyriazis, 2021;Al-Awadhi et al, 2020;Syahri and Robiyanto;2020), political events, terrorism activities, and war , also the stock market responds to the movement of oil price, gold price, exchange rate have been studied and detected inconsistent results and ambiguous findings (Asaad, 2014). Plenty of studies focused on the relationship between oil price, gold price, and macroeconomic factors but on the contrary, only a few studies have dedicated themselves to investigating the relationship between oil price, gold price, and stock markets (Gokmenoglu and Fazlollahi, 2015), especially in developing or emerging countries like Iraq during pandemic diseases of COVID19.…”

“…The limit study focused in Arab region markets (Mustafa, 2020, Marane, 2015, also researcher has been paid less attention to Middle East region which distinguished with fast economic growth compared to other emerging markets (Parsva and Lean, 2017). Before COVID19 outbreak, several studies results found in one way or another that the stock market development affected by changing of oil price (Asaad et al, 2020a;Nguyen et al, 2020;Asaad, 2017;Echchabi and Azouzi, 2017;Hammoudeh and Li, 2015;Gokmenoglu and Fazlollahi, 2015;Creti et al, 2013;Berk and Aydogan, 2012;Eryigit, 2009;Bjornland, 2009), gold price (Abdul Kareem et al, 2020;Ali et al, 2020;Selvan and G2, 2020;Shabbir et al, 2020;Utama and Puryandani, 2020;Al-Ameer et al, 2018;Bhuyan and Dash, 2018;Kumar, 2017;Arouri et al, 2015;Gokmenoglu and Fazlollahi, 2015;Mulyadi and Anwar, 2010), and exchange rate (Ali et al, 2020;Mustafa, 2020;Utama and Puryandani, 2020;Parsva and Lean, 2017;Lee and Zhao, 2014), at the same time the study variables relationship recently inclusively and heavily becomes under the investigation in literature review after outbreak of COVID19 in the world since (2019) particularly the pandemic is still existing to the first half of (2021), and future researches are likely to predict different asset prices in light of COVID19 outbreak due to new studies have shown that COVID19 has influenced the entire financial and economic system (Devpura, 2021), while some studies results found in one way or another that the stock market development affected by fluctuation of oil price, gold price and exchange during COVID19 (Chien et al, 2021;Devpura, 2021;…”

Economic Consequences of Covid-19 Pandemic: An Analysis of Exchange Rate Behaviour

“…In contrast, the currency value of emerging economies has weakened, which exhibits a difference in the effect of WPUI on exchange rate behaviour. Looking at the severity of the impact of WPUI, our finding aligns with the work of Devpura (2021) that the effect of Covid-19 is less on developed economies than emerging economies. So we can conclude that pandemic has an asymmetric impact on the currency value of emerging and advanced economies in terms of pandemic induced uncertainty.…”

“…The factors like net trade, the balance of payment, productivity growth, net capital flow, net foreign assets position, relative price level, interest rate, output, money supply, national income, portfolio preference, assets supplies, current account developments, and oil prices, among several other relative economic variables, are the prominent factors affecting the exchange rate (Bacchetta & Wincoop, 2006;Frankel, 1992;Stockman, 1980;Bhanumurthy, 2006;Tronzano, 2001;Heller, 1978;Bergstrand, 1991;Chinn, 2006). So, the exchange rate of a country is a function of the state of the countries' economy in relation to its global counterparts (Devpura, 2021;Duro et al, 2020). Prior studies by Narayan et al (2018) have documented a plausible impact of unforeseen events like the terrorist attack on the economy and the exchange rate of various countries where some countries' currencies appreciated, while some currencies depreciated in response to such an event.…”