The Impact of COVID 19 on Foreign Exchange Market Volatility: from Latin Americ
| المصدر: | مجلة إيليزا للبحوث والدراسات |
|---|---|
| الناشر: | المركز الجامعي المقاوم الشيخ آمود بن مختار إيليزي |
| المؤلف الرئيسي: | Bouriche, Nouria (Author) |
| مؤلفين آخرين: | Benbouziane, Mohamed (Co-Author) |
| المجلد/العدد: | مج7, ع1 |
| محكمة: | نعم |
| الدولة: |
الجزائر |
| التاريخ الميلادي: |
2022
|
| الشهر: | ديسمبر |
| الصفحات: | 51 - 65 |
| ISSN: |
2543-3547 |
| رقم MD: | 1339746 |
| نوع المحتوى: | بحوث ومقالات |
| اللغة: | الإنجليزية |
| قواعد المعلومات: | EcoLink, IslamicInfo |
| مواضيع: | |
| كلمات المؤلف المفتاحية: |
COVID 19 | Exchange Rate | Volatility | GARCH | EGARCH | BRL/USD | MXN/USD
|
| رابط المحتوى: |
| المستخلص: |
The study investigates the impact of COVID 19 on the volatility of exchange rate returns in Latin America. GARCH and EGARCH models are used to conduct the analysis with the inclusion of COVID 19 as an exogenous variable in the conditional mean and variance equations. The results of our study indicate a significant negative effect of COVID 19 on exchange rate returns in Brazil, The volatility of the BRL/USD and MXN/USD returns is positively influenced by corona virus. A leverage and asymmetric effects are found in the markets, that means they react differently to positive and negative shocks of the same magnitude, bad news tend to have a higher effect on the conditional volatility of the Brazilian and Mexican exchange rate markets. EGARCHX (1, 1) is the best model to capture the volatility of the returns of BRL/USD and MXN/USD exchange rates. |
|---|---|
| ISSN: |
2543-3547 |
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