Assessing the Impact of COVID-19 on Price Co-movements in China

The COVID-19 crisis has caused violent fluctuations in prices, and government responses to the pandemic further intensify the uncertainty of price changes. This study evaluates the dynamic price co-movement of main consumption categories within an Additive Bayesian Network (ABN) framework, which shows dramatically fluctuating price risks during the pandemic period. The global fears for COVID-19 affects price co-movements in China negatively with a direct linkage. By contrast, confirmed cases in China, confirmed cases around the world, and fears for the domestic pandemic situation are indirectly related with price co-movements through financial markets. The exchange rate and international hedging assets such as gold play important intermediary roles in such relationships. Meanwhile, volatile international markets including crude oil and Bitcoin are also indirectly linked with price changes in China. Comparing with the situation in China, the global pandemic appears to be a more important factor influencing the price stability in China. Overall, the impacts of COVID-19 on price co-movements are empirically demonstrated, which highlights the importance of prudent policies in response to the pandemic.

COVID-19 and currency dependences: Empirical evidence from BRICS.

The COVID-19 has caused dramatic fluctuations in international financial markets. This paper tests the effect of this pandemic on foreign exchange dependences within the BRICS economies. Upon dividing the COVID-19 episode into four stages, we document negative effects of the COVID-19 on dependences between CNY and other currencies in the BRICS across different stages. In addition, USD flows positively affect the dependencies of BRL-CNY, INR-CNY, and RUB-CNY pairs in response to the transition of the pandemic stages.