Chowdhury Kushal Banik, Garg Bhavesh
Socio-Economic Research Unit, Indian Statistical Institute, North-East Centre, Tezpur 784501, India.
Humanities & Social Sciences, Indian Institute of Technology Ropar, Ropar 140001, India.
Econ Anal Policy. 2022 Dec;76:280-298. doi: 10.1016/j.eap.2022.08.013. Epub 2022 Aug 28.
This paper extends the existing empirical literature by investigating whether the COVID-19 crisis has strengthened the dynamic relationships between oil price and exchange rate. We find significant breaks in the relationships wherein a common break is detected around the COVID-19 outbreak period. Of note, the interactions between the two markets intensified since the outbreak of the COVID-19 pandemic. Overall, our findings imply that the investors and policymakers are taking stock of the valuable information from the unanticipated occurrence of the COVID-19 pandemic. Thus, diversification in the form of portfolio switches towards foreign currency-denominated assets may be effective in the case of a depreciation of the domestic currency.
本文通过研究新冠疫情危机是否强化了油价与汇率之间的动态关系，扩展了现有的实证文献。我们发现这些关系存在显著断点，其中在新冠疫情爆发期间检测到一个共同断点。值得注意的是，自新冠疫情大流行爆发以来，两个市场之间的相互作用加剧。总体而言，我们的研究结果表明，投资者和政策制定者正在评估新冠疫情这一意外事件带来的有价值信息。因此，在本币贬值的情况下，以转向外币计价资产的投资组合转换形式进行多元化投资可能是有效的。
