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Has COVID-19 Changed Exchange Rate Resistance to Shocks?

Author

Listed:
  • Paresh Kumar Narayan

    (Centre for Financial Econometrics, Deakin University, Australia)

Abstract

In this note, we propose the hypothesis that COVID-19 has influenced the Yen-US dollar exchange rate’s resistance to shocks. We propose a time varying unit root model and unravel that prior to the pandemic, the Yen was non-stationary while during the pandemic it became mostly stationary, suggesting that shocks to the Yen are having a transitory effect. We, as a result, conclude that COVID-19 has changed the resistance of the Yen to shocks.

Suggested Citation

  • Paresh Kumar Narayan, 2021. "Has COVID-19 Changed Exchange Rate Resistance to Shocks?," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 1(1), pages 1-4.
    • Handle: RePEc:ayb:jrnael:9
    DOI: 2021/06/27
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    Cited by:

    1. Xing Fang & Weijuan Cao, 2021. "The Impact of COVID-19 on the Status of RMB as an Anchor Currency," Asian Economics Letters, Asia-Pacific Applied Economics Association, vol. 2(1), pages 1-5.
    2. Darjana Darjana & Sudarso Kadero Wiryono & Deddy Priatmodjo Koesrindartoto, 2022. "Does Credit Performance Change In The Post- Covid-19? Evidence From Java Island, Indonesia," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 25(2), pages 257-272, August.

    More about this item

    Keywords

    covid-19; yen-us dollar; shocks; exchange rate;
    All these keywords.

    JEL classification:

    • I1 - Health, Education, and Welfare - - Health
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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