LAUSR

Understanding exchange rate shocks during COVID-19

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1 Published in 2021 at "Finance Research Letters"

DOI: 10.1016/j.frl.2021.102181

Abstract: Abstract Using a dynamic VAR model fitted to hourly data, we evaluate the evolution of spillover shocks from exchange rates returns of EURO, Yen, CAD and GBP. We find that over the COVID-19 sample: (a)… read more here.

Keywords: rate shocks; exchange rates; exchange; understanding exchange ... See more keywords