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This study uses the Russia–Ukraine conflict to investigate geopolitical risk’s impact on exchange rate returns in Asia. By applying both an event study approach and a structural break test, this study finds that, on average, the Russia–Ukraine conflict resulted in currency devaluations against the USD in Asia. Furthermore, the currency response to the Russia–Ukraine conflict exhibits heterogeneity at the regional level, with currencies in Central and North Asia being the most vulnerable. Finally, this study examines the heterogeneous impacts of the Russia–Ukraine conflict, COVID-19 pandemic, and 2008 global financial crisis on exchange rate returns. The results reveal that, on average, currencies suffer most from the COVID-19 pandemic, with differences prevailing at the regional level.
Shengnan Ma (Wed,) studied this question.