Template-Type: ReDIF-Article 1.0 
Author-Name: Paresh Kumar Narayan
Author-Email:  paresh.narayan@deakin.edu.au
Author-Workplace-Name:  Centre for Financial Econometrics, Deakin University, Australia
Title: Has COVID-19 Changed Exchange Rate Resistance to Shocks?
Abstract:  In this note, we propose the hypothesis that COVID-19 has influenced the Yen-US dollar exchange rate’s resistance to shocks. We propose a time varying unit root model and unravel that prior to the pandemic, the Yen was non-stationary while during the pandemic it became mostly stationary, suggesting that shocks to the Yen are having a transitory effect. We, as a result, conclude that COVID-19 has changed the resistance of the Yen to shocks.
Classification-JEL:  I1,G15
Keywords:  covid-19,yen-us dollar,shocks,exchange rate
Journal:  Asian Economics Letters
Pages: 1-4
Volume: 1
Issue: 1
Year:  2021
DOI:  2021/06/27
File-URL:  https://a-e-l.scholasticahq.com/api/v1/articles/17389-has-covid-19-changed-exchange-rate-resistance-to-shocks.pdf
File-Format:  Application/pdf
Handle:  RePEc:ayb:jrnael:9