Abstract
In a nonparametric quantile-on-quantile regression analysis, we study the asymmetric effects of the Russia-Ukraine geopolitical risk (GPR) on the seven major currencies in terms of the USD-denominated exchange rates. We find that GPR's impact on exchange rates is asymmetric, especially at low and high extremes, currency-specific, and depends on whether the country's legal system is predominantly based on common law or otherwise. Our findings signal the attractiveness of the Euro and the Swiss Franc currencies as a hedge for currency portfolios against GPR. The investment and policy implications of the findings are discussed.
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