I analyze the shockwave effect of the COVID-19 pandemic on currency markets, with a comparison to the global financial crisis (GFC), employing Kapetanios m-break unit root test, investigations of standalone risk measures—downside variance, upside risk, volatility skewness, Gaussian Value at Risk (VaR), historical VaR, modified VaR—and Diebold–Yilmaz volatility spillover analysis. Standalone risk analysis shows that the turmoil in the initial months of COVID-19 was not as severe as that in the GFC. However, examination of co-movements and volatility spillovers illustrates a different scenario. According to the results of the static connectedness measure of Diebold–Yilmaz, the shockwave of the COVID-19 pandemic in the total volatility spillover is about eight times greater than that of the GFC. Among standalone risk measures, the results closest to this finding are obtained from volatility skewness analysis. Additionally, of six foreign exchange rates, the Brazilian real and Turkish lira are the currencies experiencing the greatest increase in received volatility during the GFC and the COVID-19 pandemic, respectively. These findings suggest the severe effect of crises on emerging financial markets.

我分析了 COVID-19 大流行对货币市场的冲击波影响，并与全球金融危机 (GFC) 进行比较，采用 Kapetanios m-break 单位根检验，调查独立风险指标——下行方差、上行风险、波动性偏度、高斯风险价值 (VaR)、历史 VaR、修正 VaR 和 Diebold-Yilmaz 波动溢出分析。独立风险分析显示，COVID-19 最初几个月的动荡并不像全球金融危机时期那么严重。然而，对联动性和波动性溢出效应的研究揭示了不同的情况。根据 Diebold-Yilmaz 静态连通性测度的结果，COVID-19 大流行在总波动性溢出中的冲击波大约是全球金融危机的八倍。在独立风险衡量指标中，最接近这一发现的结果是通过波动率偏度分析获得的。此外，在六种外汇汇率中，巴西雷亚尔和土耳其里拉分别是全球金融危机和 COVID-19 大流行期间收到的波动性增幅最大的货币。这些发现表明危机对新兴金融市场的严重影响。