Economics and Mathematical MethodsEconomics and Mathematical MethodsЭкономика и математические методы0424-73883034-6177The Russian Academy of Sciences65330910.31857/S0424738824010023World economyМировая экономикаResearch ArticleHas COVID-19 caused a devaluation of the ruble and the currencies of developing countries?Стал ли COVID-19 причиной девальвации рубля и валют развивающихся стран?NeppA. N.НеппА. Н.
Russian Federation
anepp@inbox.ruDzhuraevaZ. F.ДжураеваЗ. Ф.
Russian Federation
Juraevaz96@gmail.comUral Federal University named after the first President of Russia B. N. Yeltsin, Ural Institute of Management, branch of RANEPAУрФУ им. первого Президента России Б. Н. Ельцина, Уральский институт управления РАНХиГСUral Federal University named after the first President of Russia B. N. YeltsinУрФУ им. первого Президента России Б. Н. Ельцина03072024601173003022025Copyright ©; 2024, Russian Academy of SciencesCopyright ©; 2024, Российская академия наук2024Russian Academy of SciencesРоссийская академия наукhttps://journals.eco-vector.com/0424-7388/article/view/653309

Developing country currencies experienced strong fluctuations during the pandemic. In order to clarify the reasons of the high volatility of the Russian ruble, the Brazilian real and the Indian rupee we investigate the impact of COVID-19, its coverage in the social media and inquire about the coronavirus in Google on the exchange rates of the currencies in the study on the dollar during the period of high volatility from 01.01.2020 to 30.04.2020. Based on the works on crowd psychology, and behavioural finance, we theorise about the effects of coronavirus attention and hysteria (hype) around it on currency markets. Based on the developed GARCH models, we empirically prove that an increase in the number of publications on coronavirus in the national segment of Facebook and Instagram was accompanied by a rise in the volatility of national currencies. Such results were observed for the exchange rates of the rouble, the real and the rupee. We proved the presence of a hype-effect around COVID-19 in case of the USD/RUB exchange rate. With heightened interest in the coronavirus, the effect manifested itself in an increase in the degree to which COVID-19 coverage in social media affected the volatility of the ruble exchange rate.

Во время пандемии курсы валют развивающихся стран испытывали сильные колебания. Для выяснения причин высокой волатильности российского рубля, бразильского реала и индийской рупии мы исследуем воздействие COVID-19, его освещение в социальных сетях и запросы о коронавирусе в Google на курсы рассматриваемых валют по отношению к доллару в период наибольших колебаний с 01.01.2020 до 30.04.2020. Основываясь на трудах по психологии толпы, а также по поведенческим финансам, мы теоретически обосновываем воздействие внимания к коронавирусу и истерии (хайпа, hype) вокруг него на валютные рынки. Опираясь на разработанные GARCH-модели, мы эмпирически доказываем, что рост числа публикаций на тему коронавируса в национальном сегменте Facebook и Instagram сопровождался ростом волатильности национальных валют. Такие результаты наблюдались для курсов рубля, реала и рупии. Мы доказали наличие эффекта хайпа вокруг COVID-19 для курса рубля к доллару США. В условиях повышенного интереса к коронавирусу воздействие истерии вокруг него проявилось в увеличении степени воздействия освещения COVID-19 в социальных сетях на волатильность курса рубля.

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