ABSTRACT
In the present work, the time series of exchange rates of 5 dominant global currencies in terms of the Indian currency rupee is analysed. The time series of the exchange rate of EURO, GBP, JPY, SGD and USD in terms of Rupee from 2015 to 2021 are considered in present study. The Indian currency is taken as the base currency to analyse impact of various critical events on it and to identify safe heaven currencies. The technique of random matrix theory (RMT) is applied in static periods. For static period, 8 time windows of one year length starting from 2015 were considered. The static analysis identifies highly correlated and weakly correlated currencies during local critical events such as Covid-19 and Demonetisation in India. The study shows impact of such events on correlations among global currencies. Copyright © 2022 Wolters Kluwer Medknow Publications. All rights reserved.