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: |
| LEADER | 01969nam a22002417a 4500 | ||
|---|---|---|---|
| 001 | 2096240 | ||
| 041 | |a eng | ||
| 044 | |b الجزائر | ||
| 100 | |9 710824 |a Bouriche, Nouria |e Author | ||
| 245 | |a The Impact of COVID 19 on Foreign Exchange Market Volatility: |b from Latin Americ | ||
| 260 | |b المركز الجامعي المقاوم الشيخ آمود بن مختار إيليزي |c 2022 |g ديسمبر | ||
| 300 | |a 51 - 65 | ||
| 336 | |a بحوث ومقالات |b Article | ||
| 520 | |b 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. | ||
| 653 | |a الأسواق المالية |a أسعار الصرف |a جائحة كورونا "كوفيد-19" | ||
| 692 | |b COVID 19 |b Exchange Rate |b Volatility |b GARCH |b EGARCH |b BRL/USD |b MXN/USD | ||
| 700 | |a Benbouziane, Mohamed |e Co-Author |9 548771 | ||
| 773 | |4 الاقتصاد |4 القانون |6 Economics |6 Law |c 003 |e Journal of Aliza Research and Studies |f Mağallaẗ īlīzā li-l-buḥūṯ wa al-dirāsāt |l 001 |m مج7, ع1 |o 2176 |s مجلة إيليزا للبحوث والدراسات |v 007 |x 2543-3547 | ||
| 856 | |u 2176-007-001-003.pdf | ||
| 930 | |d y |p y |q n | ||
| 995 | |a EcoLink | ||
| 995 | |a IslamicInfo | ||
| 999 | |c 1339746 |d 1339746 | ||
عناصر مشابهة
-
Effect of Covid-19 Pandemic on Foreign Exchange Rate Volatility: The Nigeria Experience
بواسطة: Gbadebo, Abraham Oketooyin منشور: (2022) -
Investigating Stochastic Volatility During Periods of Financial Distress: Evidence from International Financial Markets
بواسطة: Enow, Samuel Tabot منشور: (2023) -
The Impact of Corporate Governance of Banks on Stock Market Performance during COVID-19 Pandemic: Evidence from Johannesburg Stock Exchange Using PLS-SEM Approach
بواسطة: Bentaib, Asma منشور: (2023) -
The Impact of COVID-19 Pandemic on the Financial Performance of Companies Listed in the Egyptian Exchange
بواسطة: Youssrry, Ghada Khaled Mohamed منشور: (2022) -
Modeling and Forecasting Volatility of Qatar Stock Exchange in Light of the Blockade and Covid-19 Crises Using GARCH Models
بواسطة: Amina, Derbal منشور: (2022)
