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
AuthorsAnwer, Z., Hassan, M., Khan, A. and Rashid, M.
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.

KeywordsExchange Rates; Currency connectedness; SAARC; ASEAN; Wavelet
Year2022
JournalJournal of International Financial Markets, Institutions and Money
PublisherElsevier
ISSN1042-4431
1873-0612
Digital Object Identifier (DOI)https://doi.org/10.1016/j.intfin.2022.101676
Official URLhttps://doi.org/10.1016/j.intfin.2022.101676
Publication process dates
Deposited19 Oct 2022
Publisher's version
License
File Access Level
Restricted
Output statusIn press
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