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

Arif, Ahmed; Saeed, Asif; Farooq, Umer

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


Authors

Ahmed Arif

Asif Saeed

Umer Farooq



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.

Journal Article Type Article
Acceptance Date Jul 26, 2021
Online Publication Date Aug 2, 2021
Publication Date 2022-10
Deposit Date Feb 11, 2022
Publicly Available Date Feb 3, 2023
Journal Applied Economics Letters
Print ISSN 1350-4851
Electronic ISSN 1466-4291
Publisher Taylor & Francis (Routledge)
Peer Reviewed Peer Reviewed
Volume 29
Issue 19
Pages 1799-1803
DOI https://doi.org/10.1080/13504851.2021.1962508
Keywords Economics and Econometrics; wavelet analysis; forex market; COVID-19 waves; COVID-19
Public URL https://uwe-repository.worktribe.com/output/9007940
Publisher URL https://www.tandfonline.com/doi/abs/10.1080/13504851.2021.1962508?journalCode=rael20
Additional Information Peer Review Statement: The publishing and review policy for this title is described in its Aims & Scope.; Aim & Scope: http://www.tandfonline.com/action/journalInformation?show=aimsScope&journalCode=rael20; Published: 2021-08-02

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Licence
http://creativecommons.org/licenses/by-nc/4.0/

Publisher Licence URL
http://creativecommons.org/licenses/by-nc/4.0/

Copyright Statement
This is an Accepted Manuscript version of the following article, accepted for publication in Applied Economics Letters.

This is the author’s accepted manuscript of an original article published by Taylor & Francis in 'Applied Economics Letters' on the 2nd of August 2021, and is available at: https://www.tandfonline.com/doi/abs/10.1080/13504851.2021.1962508?journalCode=rael20






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