Exploring the Impact of COVID-19 on Exchange Rate Volatility
Author | : Nausheen Rahman |
Publisher | : |
Total Pages | : 0 |
Release | : 2022 |
ISBN-10 | : OCLC:1376717424 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book Exploring the Impact of COVID-19 on Exchange Rate Volatility written by Nausheen Rahman and published by . This book was released on 2022 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Exchange rate is the price of one country's currency in terms of another and it is a key macroeconomic factor that affects a country's international trade. Volatile exchange rate is a major concern for policymakers and not desirable as it makes international trade and investment decision more difficult due to exchange rate risk. This paper adopts an MGARCH model to explore the impact of COVID-19 cases on the volatility of the USD exchange rates against the local currencies of Bangladesh (BDT), India (INR), and Pakistan (PKR) where the prices of oil and gold are taken as control variables. The empirical investigation reveals a positive and significant effect of COVID-19 cases on the volatility of the USD exchange rate against BDT, INR, and PKR. Additionally, this paper forecasts the daily volatility of the USD exchange rate concerning all three currencies.