Yu-Lun Chen , Yi-Hua Li , Wan-Shin Mo , J. Jimmy Yang
{"title":"Covered interest rate parity deviations, COVID-19 pandemic infection cases, and vaccination","authors":"Yu-Lun Chen , Yi-Hua Li , Wan-Shin Mo , J. Jimmy Yang","doi":"10.1016/j.intfin.2025.102122","DOIUrl":null,"url":null,"abstract":"<div><div>This study explores the impact of the COVID-19 pandemic on deviations from covered interest rate parity (CIP) for G10 currencies. We find that a higher number of COVID-19 infection cases and a higher stringency index, which captures the strictness of policies and government interventions, are associated with larger CIP deviations. However, this relation disappears after COVID-19 vaccines became available. This finding indicates that vaccines not only represent a significant advancement in combating the coronavirus but also contribute to improving efficiency in the FX market by mitigating uncertainty and stabilizing economic conditions. Furthermore, we find that the rise of the U.S. dollar during the COVID-19 pandemic contributes to persistent deviations from CIP.</div></div>","PeriodicalId":48119,"journal":{"name":"Journal of International Financial Markets Institutions & Money","volume":"99 ","pages":"Article 102122"},"PeriodicalIF":5.4000,"publicationDate":"2025-02-03","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of International Financial Markets Institutions & Money","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1042443125000125","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
This study explores the impact of the COVID-19 pandemic on deviations from covered interest rate parity (CIP) for G10 currencies. We find that a higher number of COVID-19 infection cases and a higher stringency index, which captures the strictness of policies and government interventions, are associated with larger CIP deviations. However, this relation disappears after COVID-19 vaccines became available. This finding indicates that vaccines not only represent a significant advancement in combating the coronavirus but also contribute to improving efficiency in the FX market by mitigating uncertainty and stabilizing economic conditions. Furthermore, we find that the rise of the U.S. dollar during the COVID-19 pandemic contributes to persistent deviations from CIP.
期刊介绍：
International trade, financing and investments, and the related cash and credit transactions, have grown at an extremely rapid pace in recent years. The international monetary system has continued to evolve to accommodate the need for foreign-currency denominated transactions and in the process has provided opportunities for its ongoing observation and study. The purpose of the Journal of International Financial Markets, Institutions & Money is to publish rigorous, original articles dealing with the international aspects of financial markets, institutions and money. Theoretical/conceptual and empirical papers providing meaningful insights into the subject areas will be considered. The following topic areas, although not exhaustive, are representative of the coverage in this Journal. • International financial markets • International securities markets • Foreign exchange markets • Eurocurrency markets • International syndications • Term structures of Eurocurrency rates • Determination of exchange rates • Information, speculation and parity • Forward rates and swaps • International payment mechanisms • International commercial banking; • International investment banking • Central bank intervention • International monetary systems • Balance of payments.
京公网安备 11010802042870号
京ICP备2023020795号-1
分享
求助内容：
应助结果提醒方式：
扫码关注我们
