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The behaviour of forex market during the first and second wave of COVID-19: a wavelet analysis

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  • Ahmed Arif
  • Asif Saeed
  • Umer Farooq

Abstract

This study evaluates the behaviour of the forex market during the first and the second wave of COVID-19. We have analysed the behaviour of exchange rates of CNY, JPY, CHF, and GBP in response to daily cases of COVID-19 and daily deaths, using Continuous Wavelet Transform and Wavelet Transform Coherence. The results show that the second wave has been more aggressive. The relationship of new cases and deaths has been more significant and negative with the exchange rates during the second wave of COVID-19. The currencies that are considered safe havens are severely affected by COVID-19 during the second wave.

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  • Ahmed Arif & Asif Saeed & Umer Farooq, 2022. "The behaviour of forex market during the first and second wave of COVID-19: a wavelet analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 29(19), pages 1799-1803, November.
    • Handle: RePEc:taf:apeclt:v:29:y:2022:i:19:p:1799-1803
    DOI: 10.1080/13504851.2021.1962508
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    Cited by:

    1. Saeed, Asif & Chaudhry, Sajid M. & Arif, Ahmed & Ahmed, Rizwan, 2023. "Spillover of energy commodities and inflation in G7 plus Chinese economies," Energy Economics, Elsevier, vol. 127(PA).

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