Random Matrix Theory Analysis of Impact Of Covid- 19 On Exchange Rate Of Indian Currency

Abstract

In the present work, the time series of exchange rates of 5 dominant global currencies in terms of the Indian currency rupee is analysed.
The time series of the exchange rate of EURO, GBP, JPY, SGD and USD in terms of Rupee from 2015 to 2021 are considered in
present study. The Indian currency is taken as the base currency to analyse impact of various critical events on it and to identify safe
heaven currencies. The technique of random matrix theory (RMT) is applied in static periods. For static period, 8 time windows of one
year length starting from 2015 were considered. The static analysis identifies highly correlated and weakly correlated currencies during
local critical events such as Covid-19 and Demonetisation in India. The study shows impact of such events on correlations among global
currencies.