Has the extreme risk spillover among the currencies along Belt and Road increased since COVID-19?

The international financial market has been fluctuating dramatically ever since the outbreak of the COVID-19 epidemic. The Belt and Road, as an international cooperation platform, could also be affected by the increasing risk factors during the epidemic period. This paper researched the extreme co-movement probability between 5 representative currencies along the Belt and Road and CNY before and after the epidemic with the tail dependence of the currency pairs based on copula. The results suggest that EUR's and TRY's tail dependence with CNY increased significantly while ZAR's tail dependence with CNY decreased. Therefore, there does not exist a systematic increase of the extreme risk spillover. These findings on dependence structure between currencies along B& R could provide additional insight for policy makers and corporations.