Commentary on a method for testing resistance to shocks

MethodsX

Paresh Kumar Narayan¹ 

[1] Centre for Financial Econometrics, Faculty of Business and Law, Deakin University, 221 Burwood Highway, Burwood, Victoria 3125, Australia;

关键词: Coronavirus;    COVID-19;    Crude oil prices;    Exchange rates;    Narayan–Popp test;    Persistency;   

DOI  :  

来源: DOAJ

【 摘 要 】

This note tours the Narayan (2020a: Has COVID-19 Changed Exchange Rate Resistance to Shocks?) approach to testing for resistance of a time-series variable to shocks. We take a step-by-step account of this approach and demonstrate its applicability with respect to the crude oil price. • The approach entails steps (1) to (8), as outline in the paper. • Future researchers will find this method useful in evaluating the resistance of variables to not only COVID-19 shocks but to any shock which has had a sufficiently long life.

【 授权许可】

Unknown