Abstract
We explore tail-dependence across global currency markets over the short- and long-run during the COVID-19 pandemic. We resort to the quantile coherency approach of Baruník and Kley (2015) and the partial quantile coherency of Junior, Mullokandov, and Kenett (2015) and find compelling evidence for tail dependence dynamics in the global forex markets. Under a bearish market, the total dependence magnitude is slightly higher in the short-run than in the long run. However, it alters dramatically in the bullish market where it increases significantly in the long run than in the short run. We also notice persistent network clusters based on geographic proximity and market development. Furthermore, the dependence increases significantly during the pandemic episode for certain (most) currencies under the bearish (bullish) market conditions.
Original language | English |
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Publication status | Published - 25 Mar 2022 |
Externally published | Yes |
Event | 58th Annual MBAA International Conference: Getting Back to the Business of Education as (Un)Normal: Publishing: Practical Help for Publishing Success - Palmer House Hilton Hotel, Chicago, United States Duration: 23 Mar 2022 → 25 Mar 2022 Conference number: 58 https://mbaainternational.org/page/programs |
Conference
Conference | 58th Annual MBAA International Conference |
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Country/Territory | United States |
City | Chicago |
Period | 23/03/22 → 25/03/22 |
Internet address |