In this paper, we empirically investigate the impact of the COVID-19 pandemic on FX markets. We find important differences between COVID-19 and previous high-risk episodes: the Global Financial Crisis, the Swiss National Bank's removal of the Swiss franc/euro floor, and Brexit. Contrary to these episodes, the USD did not show any safe haven characteristics during the pandemic. Furthermore, the estimated volatility and non-parametric value-at-risk of three currency portfolios indicate that COVID-19 was not as risky as previous stressful events. We provide evidence that investors could minimize COVID-19 risk by investing in the Canadian dollar and the Japanese yen, and by reducing their exposure to European currencies.

在本文中，我们实证研究了 COVID-19 大流行对外汇市场的影响。我们发现 COVID-19 与之前的高风险事件之间存在重要差异：全球金融危机、瑞士国家银行取消瑞士法郎/欧元底线以及英国退欧。与这些事件相反，美元在大流行期间没有表现出任何避风港特征。此外，三种货币投资组合的估计波动率和非参数风险价值表明，COVID-19 的风险不如之前的压力事件那么大。我们提供的证据表明，投资者可以通过投资加元和日元以及减少对欧洲货币的敞口来最大限度地降低 COVID-19 风险。