Analysis of the impact of the coronavirus pandemic on the volatility of the RUONIA interest rate: wavelet coherent analysis

Abstract

The results of the assessment of wavelet coherence and wavelet phase difference for the considered pairs of indicators: the daily number of newly registered patients with Covid-19 and RUONIA; daily number of deaths from Covid-19 and RUONIA, show very similar dynamics of both pairs, which occurs in accordance with the same patterns (patterns) and indicate a high level of wavelet coherence (consistency of joint changes) and phase difference during the provoked Covid-19 market stress over most of the time and frequency scale, especially in the 80+ day frequency band. It has been established that for all considered pairs of indicators, the area with the minimum value of wavelet coherence and, accordingly, joint consistency, is mainly represented in the frequency band of 30–50 days, throughout the entire time interval (458 days).