Exchange rate instabilities during the Russia-Ukraine war: Evidence from V4 countries

Aliu, Florin; Kučera, Jiří; Horák, Jakub

doi:10.1016/j.heliyon.2024.e25476

Cited by 3 publications

(1 citation statement)

References 45 publications

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“…Also, the outbreak of the Russian-Ukrainian war in February 2022 had a strong impact on the foreign exchange markets (cf. [39,40]). Complex network theory was applied to analyze the relationship between global stock markets during the Russia-Ukraine war in Zaheer et al (2024) [41], but to the authors' knowledge, no one has studied the impact of the Russian invasion of Ukraine on the topological structure of the global currency network to date.…”

Section: Literature Reviewmentioning

confidence: 99%

The Impact of the Measure Used to Calculate the Distance between Exchange Rate Time Series on the Topological Structure of the Currency Network

Andrzejak,

Chmielewski,

Landmesser-Rusek

et al. 2024

Entropy

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Structural properties of the currency market were examined with the use of topological networks. Relationships between currencies were analyzed by constructing minimal spanning trees (MSTs). The dissimilarities between time series of currency returns were measured in various ways: by applying Euclidean distance, Pearson’s linear correlation coefficient, Spearman’s rank correlation coefficient, Kendall’s coefficient, partial correlation, dynamic time warping measure, and Kullback–Leibler relative entropy. For the constructed MSTs, their topological characteristics were analyzed and conclusions were drawn regarding the influence of the dissimilarity measure used. It turned out that the strength of most types of correlations was highly dependent on the choice of the numeraire currency, while partial correlations were invariant in this respect. It can be stated that a network built on the basis of partial correlations provides a more adequate illustration of pairwise relationships in the foreign exchange market. The data for quotations of 37 of the most important world currencies and four precious metals in the period from 1 January 2019 to 31 December 2022 were used. The outbreak of the COVID-19 pandemic in 2020 and Russia’s invasion of Ukraine in 2022 triggered changes in the topology of the currency network. As a result of these crises, the average distances between tree nodes decreased and the centralization of graphs increased. Our results confirm that currencies are often pegged to other currencies due to countries’ geographic locations and economic ties. The detected structures can be useful in descriptions of the currency market, can help in constructing a stable portfolio of the foreign exchange rates, and can be a valuable tool in searching for economic factors influencing specific groups of countries.

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Section: Literature Reviewmentioning

confidence: 99%

The Impact of the Measure Used to Calculate the Distance between Exchange Rate Time Series on the Topological Structure of the Currency Network

Andrzejak,

Chmielewski,

Landmesser-Rusek

et al. 2024

Entropy

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Influence of Ukrainian refugees on the exchange rate and stock market in neighboring countries

Gheorghe,

Panazan

2024

SEF

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Purpose As the onset of the Russia–Ukraine military conflict on February 24, 2022, individuals from Ukraine have been relocating in search of safety and refuge. This study aims to investigate how the influx of Ukrainian refugees has impacted the stock markets and exchange rates of Ukraine's neighboring states. Design/methodology/approach The authors focused on the neighboring countries that share a western border with Ukraine and have received the highest number of refugees: Hungary, Poland, Romania and Slovakia. The analysis covered the period from April 24 to December 31, 2022. After this period, the influence of the refugees is small, insignificant. Wavelet coherence, wavelet power spectrum and the time-varying parameter vector autoregressions method were used for data processing. Findings The key finding are as follows: a link exists between the dynamics of refugees from Ukraine and volatility of the stock indices and exchange rate of the host countries; volatility was significant in the first weeks after the start of the conflict in all the analyzed states; and the highest volatility was recorded in Hungary and Poland; the effect of refugees was stronger on stock indices than that on exchange rates. Originality/value To the best of the authors’ knowledge, it is the first research that presents the impact of refugees from Ukraine on stock markets and exchange rates volatility in the countries analyzed.

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Oil price, climate policy uncertainty, sustainable development, US dollar in an era of global conflict: Based on dynamic time-frequency spillover analysis

Wang,

Liu,

Liu

et al. 2024

Energy & Environment

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This paper uses time-frequency domain techniques to study the dynamic spillover relationship among oil price, climate risk, sustainable development, and US dollar in an era of global conflict. The findings demonstrate a high overall spillover level, indicating that the risk transmission is prone to occur among the variables. The dynamic investigation indicates that the spillover influence is thus frequency-dependent and higher at high frequencies. The findings of the net dynamic spillover reveal that geopolitical risk has a certain degree of spillover risk to other variables, and the majority of this risk transmission occurs in the near run. In addition, oil prices and sustainable development are major net recipients of the US dollar, playing an important role in preventing inflation risks. This study makes a more comprehensive and systematic discussion of geopolitical risks. It presents different risk impacts on crude oil markets, climate policy making, sustainable development, and US dollar on multiple time scales. These conclusions can prevent and resolve the cessation of climate cooperation and oil price shocks induced by geopolitical risks, and provide valuable enlightenment for realizing sustainable development. Countries should attach importance to the multi-faceted impact of geopolitical risks, pay more consideration to the global environment for oil and climate policy, and jointly contribute to sustainable development.

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Exchange rate instabilities during the Russia-Ukraine war: Evidence from V4 countries

Cited by 3 publications

References 45 publications

The Impact of the Measure Used to Calculate the Distance between Exchange Rate Time Series on the Topological Structure of the Currency Network

The Impact of the Measure Used to Calculate the Distance between Exchange Rate Time Series on the Topological Structure of the Currency Network

Influence of Ukrainian refugees on the exchange rate and stock market in neighboring countries

Oil price, climate policy uncertainty, sustainable development, US dollar in an era of global conflict: Based on dynamic time-frequency spillover analysis

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