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Dynamic Structural Impact of the COVID-19 Outbreak on the Stock Market and the Exchange Rate: A Cross-country Analysis Among BRICS Nations

COVID-19 has impacted the economy of almost every country in the world. Of particular interest are the responses of the economic indicators of developing nations (such as BRICS) to the COVID-19 shock. As an extension to our earlier work on the dynamic associations of pandemic growth, exchange rate, and stock market indices in the context of India, we look at the same question with respect to the BRICS nations. We use structural variable autoregression (SVAR) to identify the dynamic underlying associations across the normalized growth measurements of the COVID-19 cumulative case, recovery, and death counts, and those of the exchange rate, and stock market indices, using data over 203 days (March 12 - September 30, 2020). Using impulse response analyses, the COVID-19 shock to the growth of exchange rate was seen to persist for around 10+ days, and that for stock exchange was seen to be around 15 days. The models capture the contemporaneous nature of these shocks and the subsequent responses, potentially guiding to inform policy decisions at a national level. Further, causal inference-based analyses would allow us to infer relationships that are stronger than mere associations.