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

ABSTRACT

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.