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Health Crisis and Currency Risk: Fresh Evidence from New Data Sets

Afees A. Salisu et al.

Bulletin of Monetary Economics and Banking2025https://doi.org/10.59091/2460-9196.2136article
ABDC C
Weight
0.37

What the paper says

With the aid of a method of predictability analysis that involves a feasible quasigeneralized least squares estimator, we examine the predictive power associated with the newly computed COVID-19 indices, which are disaggregated into six indices for currency market risks (realized volatility of exchange rate). Our sample size covers the period between December 31, 2019, and December 28, 2021. We note mixed outcomes for the major currency markets considered. On average, while the health crisis seems to have heightened the risks associated with Pounds Sterling, Australian Dollar and Canadian Dollar against USD, it exerts a moderating effect on the Euro, Yen and Swiss Franc against USD. However, the indices consistently demonstrate predictive prowess across multiple out-of-sample forecasts, which we adduce to the richness of the new measures.

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https://doi.org/https://doi.org/10.59091/2460-9196.2136

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@article{afees2025,
  title        = {{Health Crisis and Currency Risk: Fresh Evidence from New Data Sets}},
  author       = {Afees A. Salisu et al.},
  journal      = {Bulletin of Monetary Economics and Banking},
  year         = {2025},
  doi          = {https://doi.org/https://doi.org/10.59091/2460-9196.2136},
}

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Health Crisis and Currency Risk: Fresh Evidence from New Data Sets

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Evidence weight

0.37

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.16 × 0.4 = 0.06
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.