September 23, 2025RisksOpen Access

Modeling Exchange Rate Volatility in India in Relation to COVID-19 and Lockdown Stringency: A Wavelet Coherence and Quantile Causality Approach

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Econometric analysis reveals lockdown stringency and COVID-19 cases influence exchange rate fluctuations in India.

Exchange rate volatility increased due to the initial COVID-19 outbreak, and stringent lockdowns later mitigated it.
Wavelet coherence analysis showed a significant connection between pandemic data and exchange rate movements.
Hybrid quantile causality results confirmed COVID-19 cases and lockdown measures predict currency market behavior.
Robustness checks supported the causal link between pandemic-related factors and exchange rate stability.

Syed et al. (2025) studied this question.

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