Gold, bonds, and epidemics: A safe haven study

Choudhury, Tonmoy; Kinateder, Harald; Neupane, Biwesh

doi:10.1016/j.frl.2022.102978

Cited by 50 publications

(36 citation statements)

References 18 publications

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“…During a period of crisis, the USD appreciates against other major currencies. Recent research by Choudhury et al (2022) shows this effect for epidemics. Their results also show devaluation of the EUR against the USD, which supports JRF 24,1 the safe haven property of the USD.…”

Section: Russian Invasion On Ukrainementioning

confidence: 91%

Consequences of Russian invasion on Ukraine: evidence from foreign exchange rates

Aliu

Hašková

Bajra

2022

JRF

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PurposeThe stability of exchange rates facilitates international trade, diminishes portfolio risk, and ensures that economic policies are effective. The war in Ukraine is showing that the European financial system is still fragile to external shocks. This paper examines the consequences of the Russian invasion of Ukraine on five Euro exchange rates. The final goal is to empirically test whether the ruble caused the euro to depreciate with the Russian invasion of Ukraine.Design/methodology/approachThe exchange rates analyzed are Euro/Russian Ruble, Euro/US Dollar, Euro/Japanese Yen, Euro/British Pound, and Euro/Chinese Yuan. The data collected are daily and cover the period from November 1, 2021, to May 1, 2022. In this context, the changes in the FX rates reflect two months of the ongoing war in Ukraine. The FX rates used in the study contain 137 observations indicating five months of daily series.FindingsThe results from impulse response function, variance decomposition, SVAR, and VECM indicate that the EUR/RUB significantly influenced the Euro devaluation. On the other side, the FX rates used in our work altogether hold long-run cointegration. The situation is different in the short run, where only EUR/RUB, EUR/USD, and EUR/CNY possess significant relations with other parities.Originality/valueThe Ruble is not among hard currencies, but its position strengthened during this period due to the importance of Russian gas to the Eurozone. The results indicate that even weak currencies can be influential depending on the geopolitical and economic situation. To this end, diversification remains a valid concept not only in portfolio construction but also for the preservation of the national economy.

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Section: Russian Invasion On Ukrainementioning

confidence: 91%

Consequences of Russian invasion on Ukraine: evidence from foreign exchange rates

Aliu

Hašková

Bajra

2022

JRF

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“…Unfortunately, they cannot be applied to international banking institutions because of their unique intermediation model [6] and central role in some sanctions. Indeed what distinguishes banks from nonfinancial firms is the spillover effect on global financial and commodity markets (Batten et al , 2022; Choudhury et al , 2022; Hassan et al , 2022b; Hassan et al , 2022c; Karim et al , 2022), as commercial banks play a facilitation role in transactions and providing credit in the modern economy. Under such high uncertainty and the nature of the war crisis, the banking system’s ability to withstand the economic repercussions of systemic risk-induced adverse events is even more critical.…”

Section: Introductionmentioning

confidence: 99%

Market reaction to the Russian Ukrainian war: a global analysis of the banking industry

Boubaker

Nguyen²,

Trinh

et al. 2023

RAF

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Purpose The purpose of this paper is to study the market reactions of the banking industry to the Russian–Ukraine war. Design/methodology/approach This paper uses an event study methodology, regression analyses and interaction effects to study the effect of the war on banks stock prices and analyze factors that explain the cumulative abnormal return. Findings First, this study finds a significant decline of almost 1.5% in return on the war date. Similar patterns were observed for all continents, but Europe had the most severe drop of about 4%. Second, after excluding the contemporaneous influence of the whole market using the market model, global bank equities returns fell by about 1% on the war date, indicating that bank stocks were more severely impacted by the war than the average stock market. Net-of-market return approach further reveals that bank stock prices decreased 1.4% more on the event day compared to the prewar market average. Third, the impacts of the war and sanctions were persistent when the war continued. Banks stocks were most hit in Europe, Asia and North America. Originality/value This paper pioneers the study of the effect of the Russia–Ukraine war on the banking industry. This paper also analyzes the reaction pattern of bank stocks before, during and after the war to explain the behavior and expectations of investors toward the war.

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“…Combined with lasting negative net risk spillovers ( Fig. 3 ), its role as a safe-haven asset is stable ( Choudhury et al., 2022 ).…”

Section: Resultsmentioning

confidence: 99%

COVID-19 and risk spillovers of China's major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis

Xie

Liu

et al. 2023

Finance Research Letters

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Gold, bonds, and epidemics: A safe haven study

Cited by 50 publications

References 18 publications

Consequences of Russian invasion on Ukraine: evidence from foreign exchange rates

Consequences of Russian invasion on Ukraine: evidence from foreign exchange rates

Market reaction to the Russian Ukrainian war: a global analysis of the banking industry

COVID-19 and risk spillovers of China's major financial markets: Evidence from time-varying variance decomposition and wavelet coherence analysis

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