Title: How do COVID-19 containment policies affect currency status?

Authors: Juanjuan Zhuo; Masao Kumamoto

Addresses: Faculty of Humanities and Social Sciences, Kochi University, Kochi, Japan ' Graduate School of Business Administration, Hitotsubashi University, Tokyo, Japan

Abstract: We employed copula-dynamic conditional correlation and threshold approaches to investigate the status of the JPY, CHF, EUR and GBP during the COVID-19 period vis-à-vis various kinds of assets - specifically, stocks, government bonds, currencies and commodities. Further, we investigated how containment policies affected currency status. We classified currency status into diversifier, hedge and safe-haven currencies. Our main findings were as follows: first, while currency status' behaviours differ in different asset markets, the JPY acted as a hedge in stock, emerging countries' currency and commodity markets in tranquil periods, and acted as a safe haven in times of financial stress. Second, the currency of a country with strict containment policies tended to appreciate when market uncertainty increased, suggesting that the roles of the EUR, CHF and GBP as diversifiers and that of the JPY as a hedge strengthened. Third, vaccination might have contributed in reducing negative investor sentiment and their COVID-19-related concerns.

Keywords: COVID-19; containment policy; vaccination; diversifier currency; hedge currency; safe-haven currency; global risk; equity market volatility; copula-DCC; threshold.

DOI: 10.1504/GBER.2026.151144

Global Business and Economics Review, 2026 Vol.34 No.2, pp.178 - 218

Received: 06 Jun 2023
Accepted: 25 Sep 2023
Published online: 15 Jan 2026 *

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