Has COVID-19 intensified the oil price–exchange rate nexus?

Volatility spillover between oil prices and main exchange rates: Evidence from a DCC-GARCH-connectedness approach

“…This implies that there is no significant volatility contagion between these two markets during the 'pre-COVID' period. This implies that there is no strong interaction during this time, and the markets remain reasonably stable, confirming the findings of Chowdhury and Garg (2022). Moving to the NET connectedness among all the markets analysed during this period, the results presented in Table 5 indicate that the net directional volatility is positive for Shanghai and WTI (10.26 and 15.16,respectively).…”

“…Proceeding to the next analysis in Appendix 6, where we represent the net pairwise volatility spillovers during COVID, we observe that the persistence of peaks illustrates periods of high interconnectedness, such as during the second quarter of 2020, which can be associated with the oil price collapse on 20 April 2020. The interactions between the two markets have been more intense since the beginning of the COVID-19 epidemic, confirming the results of Chowdhury and Garg (2022), Bourghelle et al (2021) andAlbulescu (2020). COVID-19 has significantly harmed the oil market, increased uncertainty and elevated risk in financial markets, leading to an increase in the magnitude of oil price and exchange rate volatility.…”

“…Bidirectional volatility spillover also existed between the Nigerian currency and oil prices. Chowdhury and Garg (2022) used VAR and a bivariate GARCH approach to examine the volatility spillover relationship between oil prices and the currencies of China, India, Japan and Korea from 2017 to 2020. The empirical findings indicated that the COVID-19 pandemic exacerbated the dynamic links between oil prices and currency rate volatility due to the rise of uncertainty and the sharp drop in oil prices.…”

Testing policy effectiveness during COVID-19: An NK-DSGE analysis

“… 1 Most of the burgeoning research is focused on energy markets ( Apergis and Apergis, 2020 , Devpura, 2020 , Fu and Shen, 2020 , Iyke, 2020a , Iyke, 2020b , Narayan, 2020c , Narayan, Iyke et al, 2021 , Prabheesh and Kumar, 2021 , Prabheesh, Padhan et al, 2020 , Salisu and Adediran, 2020 ); financial markets ( Akhtaruzzaman et al, 2021 , Gil-Alana and Claudio-Quiroga, 2020 , Haroon and Rizvi, 2020 , Mishra et al, 2020 , Narayan, Phan et al, 2021 , Nguyen et al, 2021 , Phan and Narayan, 2020 , Prabheesh, 2020 , Prabheesh, Garg et al, 2020 , Rai and Garg, 2021 , Salisu and Sikiru, 2020 , Sharma, 2020 , Zhang et al, 2020 ); foreign exchange market ( Chowdhury and Garg, 2022 , Devpura, 2020 , Devpura and Narayan, 2020 , Feng et al, 2021 , Garg and Prabheesh, 2021 , Narayan, 2020a , Narayan, 2020b , Narayan et al, 2020 ); international trade ( Baldwin and Freeman, 2020 , Kiyota, 2022 , Liu et al, 2020 , Vidya and Prabheesh, 2020 ), among many others. For a detailed survey of the COVID-19 literature, please refer to Brodeur, Gray, Islam, and Bhuiyan (2020) and Padhan and Prabheesh (2021) .…”