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

Arif, Ahmed, Saeed, Asif and Farooq, Umer (2021) The behaviour of forex market during the first and second wave of COVID-19: a wavelet analysis. Applied Economics Letters . ISSN 1350-4851

Full content URL: https://doi.org/10.1080/13504851.2021.1962508

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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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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.

Keywords:COVID-19, forex market
Subjects:N Business and Administrative studies > N300 Finance
Divisions:Lincoln International Business School
ID Code:46684
Deposited On:13 Oct 2021 14:00

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