IDEAS home Printed from https://ideas.repec.org/a/aft/journl/v2112024janjunp119-142.html
   My bibliography  Save this article

Exchange Rate Volatility In Times Of Covid-19 In The Brics: Ardl And Cointegration Models (Fmols And Dols)

Author

Listed:
  • Valdecy Caetano

    (Universidade Federal de Uberlândia)

  • Flávio Vilela Vieira

    (Universidade Federal de Uberlândia)

Abstract

The main goal of this work is to develop an empirical investigation on the occurrence of a sanitary crisis with data of cases and deaths of Covid-19, and their possible impact on the exchange rate volatility for the BRICS with daily data from February 20, 2020, to February 28, 2022, using ARDL, FMOLS and DOLS models. The results indicate that increases in the number of confirmed cases and deaths are associated with lower levels of exchange rate volatility, indicating that monetary and fiscal policies were inefficient in the context of a generalized health crisis in directing capital flows, and since the Covid-19 crisis is a global one, during the period of analysis there was a relative exchange rate stability, in other words, a lower exchange rate volatility.

Suggested Citation

  • Valdecy Caetano & Flávio Vilela Vieira, 2024. "Exchange Rate Volatility In Times Of Covid-19 In The Brics: Ardl And Cointegration Models (Fmols And Dols)," Revista de Economia Mackenzie (REM), Mackenzie Presbyterian University, Social and Applied Sciences Center, vol. 21(1), pages 119-142, january-j.
    • Handle: RePEc:aft:journl:v:21:1:2024:jan:jun:p:119-142
    DOI: 10.5935/1808-2785/rem.v21n1p.119-142
    as

    Download full text from publisher

    File URL: https://editorarevistas.mackenzie.br/index.php/rem/article/view/16649/12422
    Download Restriction: no
    File URL: https://libkey.io/10.5935/1808-2785/rem.v21n1p.119-142?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    Exchange rate volatility; Covid-19; Brics; ARDL; DOLS and FMOLS models; interest rate.;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G01 - Financial Economics - - General - - - Financial Crises

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:aft:journl:v:21:1:2024:jan:jun:p:119-142. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Instituto Presbiteriano Mackenzie (IPM) (email available below). General contact details of provider: https://edirc.repec.org/data/fcmacbr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.