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IF 5.4 2区经济学 Q1 BUSINESS, FINANCE

Journal of International Financial Markets Institutions & Money Pub Date : 2025-02-03 DOI:10.1016/j.intfin.2025.102122

Yu-Lun Chen , Yi-Hua Li , Wan-Shin Mo , J. Jimmy Yang

引用次数: 0

摘要

本研究探讨了 COVID-19 大流行对 G10 货币的覆盖利率平价（CIP）偏差的影响。我们发现，COVID-19 感染病例数越多，严格指数越高（该指数反映了政策和政府干预措施的严格程度），CIP 偏离越大。然而，在 COVID-19 疫苗上市后，这种关系消失了。这一发现表明，疫苗不仅代表了抗击冠状病毒的重大进步，而且还有助于通过缓解不确定性和稳定经济状况来提高外汇市场的效率。此外，我们还发现，在 COVID-19 大流行期间，美元的上涨也是导致持续偏离 CIP 的原因之一。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Covered interest rate parity deviations, COVID-19 pandemic infection cases, and vaccination

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.

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来源期刊

Journal of International Financial Markets Institutions & Money Multiple-

CiteScore

6.60

自引率

10.00%

发文量

142

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.