[HTML][HTML] Asymmetric effects of geopolitical risk on major currencies: Russia-Ukraine tensions
A Bossman, M Gubareva, T Teplova - Finance Research Letters, 2023 - Elsevier
In a nonparametric quantile-on-quantile regression analysis, we study the asymmetric
effects of the Russia-Ukraine geopolitical risk (GPR) on the seven major currencies in terms
of the USD-denominated exchange rates. We find that GPR's impact on exchange rates is
asymmetric, especially at low and high extremes, currency-specific, and depends on
whether the country's legal system is predominantly based on common law or otherwise.
Our findings signal the attractiveness of the Euro and the Swiss Franc currencies as a hedge …
effects of the Russia-Ukraine geopolitical risk (GPR) on the seven major currencies in terms
of the USD-denominated exchange rates. We find that GPR's impact on exchange rates is
asymmetric, especially at low and high extremes, currency-specific, and depends on
whether the country's legal system is predominantly based on common law or otherwise.
Our findings signal the attractiveness of the Euro and the Swiss Franc currencies as a hedge …