Assessing the Financial Implications of COVID-19 Within the SVAR Framework for Some Asian Countries

This article examines the structural responses of foreign exchange and equity markets to COVID-19 pandemic in seven Asian countries over its first 4 months (31 December 2019 1 May 2020). Marginal effects derived from a vector autoregression (SVAR) model suggest that 1% increase incidence cases significantly diminished Indonesia’s market returns by 4.7%, depreciated Indian rupee against US dollar 4.8%, but improved prospects South Korea 4.1%. For other financial markets, effect was found be insignificant. Further, impulse response analyses imply influence on is only transitory nature. Additional SVAR analysis for India Indonesia recent (2 2020 22 January 2021) showed their remained (or became) resistant escalating inflections deaths. JEL Code: G15