Does the regional proximity lead to exchange rate spillover?
Journal article
Anwer, Z., Hassan, M., Khan, A. and Rashid, M. 2022. Does the regional proximity lead to exchange rate spillover? Journal of International Financial Markets, Institutions and Money. https://doi.org/10.1016/j.intfin.2022.101676
Authors | Anwer, Z., Hassan, M., Khan, A. and Rashid, M. |
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Abstract | To understand whether regional proximity leads to exchange rate connectedness, we explore dynamic co-movement of currencies from two important regions namely the South Asian Association for Regional Cooperation and Association of Southeast Asian Nations by using Continuous Wavelet Transformation approach. Our results reveal very little co-movement between member currencies of both regions and imply that regional proximity does not necessarily translate into exchange rate connectedness. The results remain robust to alternate specifications. Our findings carry important implications for academia and policymakers. |
Keywords | Exchange Rates; Currency connectedness; SAARC; ASEAN; Wavelet |
Year | 2022 |
Journal | Journal of International Financial Markets, Institutions and Money |
Publisher | Elsevier |
ISSN | 1042-4431 |
1873-0612 | |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.intfin.2022.101676 |
Official URL | https://doi.org/10.1016/j.intfin.2022.101676 |
Publication process dates | |
Deposited | 19 Oct 2022 |
Publisher's version | License File Access Level Restricted |
Output status | In press |
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