Assessing the impact of the Russia-Ukraine war and COVID-19 on selected European currencies and key commodities
This study measures the spillover effects of the Russia-Ukraine war and the COVID-19 pandemic on currency pairs as the Russian ruble, Czech koruna, Polish zloty, Hungarian forint, Swedish krona, Bulgarian lev, Danish krone, Romanian leu, Ukrainian hryvnia, and Turkish Lira. By employing the TVP-VAR...
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| Format: | Article |
| Language: | English |
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Vilnius Gediminas Technical University
2024-11-01
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| Series: | Journal of Business Economics and Management |
| Subjects: | |
| Online Access: | https://journals.vilniustech.lt/index.php/JBEM/article/view/22518 |
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| author | Florin Aliu Yelyzaveta Apanovych Ujkan Bajra Artor Nuhiu |
| author_facet | Florin Aliu Yelyzaveta Apanovych Ujkan Bajra Artor Nuhiu |
| author_sort | Florin Aliu |
| collection | DOAJ |
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This study measures the spillover effects of the Russia-Ukraine war and the COVID-19 pandemic on currency pairs as the Russian ruble, Czech koruna, Polish zloty, Hungarian forint, Swedish krona, Bulgarian lev, Danish krone, Romanian leu, Ukrainian hryvnia, and Turkish Lira. By employing the TVP-VAR model we investigate the dynamic connectedness among these currencies and key energy and agricultural commodities. The data series encompasses two consecutive non-economic shocks – the Ukraine war and the COVID-19 pandemic – and a preceding period of general stability during 2018 and 2019. The importance of geopolitical context in shaping currency dynamics was present in countries with heavy dependence on Russian gas. The findings indicate a limited direct impact of commodity price fluctuations on the value of these currencies. At the same time, geopolitical decisions primarily related to the Russian Ruble and energy dependencies significantly impacted their valuation. The study reveals the complexity of currency dynamics and the influence of geopolitical risks and global health crises on exchange rate volatility and commodity dependencies.
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| format | Article |
| id | doaj-art-bda82b0baa784f1f98f22a40166dc8e8 |
| institution | Kabale University |
| issn | 1611-1699 2029-4433 |
| language | English |
| publishDate | 2024-11-01 |
| publisher | Vilnius Gediminas Technical University |
| record_format | Article |
| series | Journal of Business Economics and Management |
| spelling | doaj-art-bda82b0baa784f1f98f22a40166dc8e82024-11-18T16:29:04ZengVilnius Gediminas Technical UniversityJournal of Business Economics and Management1611-16992029-44332024-11-0125510.3846/jbem.2024.22518Assessing the impact of the Russia-Ukraine war and COVID-19 on selected European currencies and key commoditiesFlorin Aliu0Yelyzaveta Apanovych1Ujkan Bajra2Artor Nuhiu3School of Expertness and Valuation, Institute of Technology and Business, Ceske Budejovice, Czech RepublicSchool of Expertness and Valuation, Institute of Technology and Business, Ceske Budejovice, Czech Republic; Faculty of Economics and Business, Pan-European University (PEU), Bratislava, SlovakiaDepartment of Mathematics, University of Prishtina, Prishtina, Republic of Kosovo; Institute for Economic Research and Legal Studies, Prishtina, Republic of KosovoDepartment of Financial Law, Faculty of Law, University of Prishtina, Prishtina, Republic of Kosovo This study measures the spillover effects of the Russia-Ukraine war and the COVID-19 pandemic on currency pairs as the Russian ruble, Czech koruna, Polish zloty, Hungarian forint, Swedish krona, Bulgarian lev, Danish krone, Romanian leu, Ukrainian hryvnia, and Turkish Lira. By employing the TVP-VAR model we investigate the dynamic connectedness among these currencies and key energy and agricultural commodities. The data series encompasses two consecutive non-economic shocks – the Ukraine war and the COVID-19 pandemic – and a preceding period of general stability during 2018 and 2019. The importance of geopolitical context in shaping currency dynamics was present in countries with heavy dependence on Russian gas. The findings indicate a limited direct impact of commodity price fluctuations on the value of these currencies. At the same time, geopolitical decisions primarily related to the Russian Ruble and energy dependencies significantly impacted their valuation. The study reveals the complexity of currency dynamics and the influence of geopolitical risks and global health crises on exchange rate volatility and commodity dependencies. https://journals.vilniustech.lt/index.php/JBEM/article/view/22518Russia-Ukraine warCOVID-19TVP-VARcurrency dynamicsenergy and agricultural commoditiesFX market |
| spellingShingle | Florin Aliu Yelyzaveta Apanovych Ujkan Bajra Artor Nuhiu Assessing the impact of the Russia-Ukraine war and COVID-19 on selected European currencies and key commodities Journal of Business Economics and Management Russia-Ukraine war COVID-19 TVP-VAR currency dynamics energy and agricultural commodities FX market |
| title | Assessing the impact of the Russia-Ukraine war and COVID-19 on selected European currencies and key commodities |
| title_full | Assessing the impact of the Russia-Ukraine war and COVID-19 on selected European currencies and key commodities |
| title_fullStr | Assessing the impact of the Russia-Ukraine war and COVID-19 on selected European currencies and key commodities |
| title_full_unstemmed | Assessing the impact of the Russia-Ukraine war and COVID-19 on selected European currencies and key commodities |
| title_short | Assessing the impact of the Russia-Ukraine war and COVID-19 on selected European currencies and key commodities |
| title_sort | assessing the impact of the russia ukraine war and covid 19 on selected european currencies and key commodities |
| topic | Russia-Ukraine war COVID-19 TVP-VAR currency dynamics energy and agricultural commodities FX market |
| url | https://journals.vilniustech.lt/index.php/JBEM/article/view/22518 |
| work_keys_str_mv | AT florinaliu assessingtheimpactoftherussiaukrainewarandcovid19onselectedeuropeancurrenciesandkeycommodities AT yelyzavetaapanovych assessingtheimpactoftherussiaukrainewarandcovid19onselectedeuropeancurrenciesandkeycommodities AT ujkanbajra assessingtheimpactoftherussiaukrainewarandcovid19onselectedeuropeancurrenciesandkeycommodities AT artornuhiu assessingtheimpactoftherussiaukrainewarandcovid19onselectedeuropeancurrenciesandkeycommodities |