IDEAS home Printed from https://ideas.repec.org/a/oap/ijaefa/v17y2023i1p156-167id1092.html
   My bibliography  Save this article

COVID-19 pandemic, Russian-Ukrainian war and REER volatility: Evidence from panel of countries

Author

Listed:
  • Ayyoub Ben El Rhadbane
  • Abdeslam El Moudden

Abstract

This article aims to empirically study the effect of the COVID-19 pandemic and the Russian-Ukrainian war on the volatility of the real effective exchange rate (REER) using panel data from 23 advanced, emerging, and developing economies. The study covers the period from January 2020 to October 2022. The ARCH/GARCH model is used to estimate the monthly REER volatility for each monetary zone. The impact of the COVID-19 pandemic is measured by the monthly Covid- 19 deaths, while the Russian-Ukrainian war is measured using two factors: monthly oil prices in USD and the monthly food price index. Consequently, two models are developed: the first one measure the impact of the COVID-19 deaths and the oil prices, while the second assesses the impact of the COVID-19 deaths and the food price index on the REER volatility. In both models, the long-term results suggest that the COVID-19 pandemic and the Russian-Ukrainian war have a positive and significant effect on REER volatility at a 1% significance level. Moreover, the Granger test suggests that the independent variables cause REER volatility at a 1% significance level. Finally, the study concludes that the Russian-Ukrainian war significantly intensifies REER volatility more than the COVID-19 pandemic.

Suggested Citation

  • Ayyoub Ben El Rhadbane & Abdeslam El Moudden, 2023. "COVID-19 pandemic, Russian-Ukrainian war and REER volatility: Evidence from panel of countries," International Journal of Applied Economics, Finance and Accounting, Online Academic Press, vol. 17(1), pages 156-167.
    • Handle: RePEc:oap:ijaefa:v:17:y:2023:i:1:p:156-167:id:1092
    as

    Download full text from publisher

    File URL: http://onlineacademicpress.com/index.php/IJAEFA/article/view/1092/774
    Download Restriction: no
    File URL: http://onlineacademicpress.com/index.php/IJAEFA/article/view/1092/911
    Download Restriction: no
    ---><---

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oap:ijaefa:v:17:y:2023:i:1:p:156-167:id:1092. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Heather Rothman (email available below). General contact details of provider: http://onlineacademicpress.com/index.php/IJAEFA/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.