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. |
---|---|
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 |
Permalink -
https://repository.canterbury.ac.uk/item/92x89/does-the-regional-proximity-lead-to-exchange-rate-spillover
79
total views0
total downloads0
views this month0
downloads this month
Export as
Related outputs
The resilience of ethical assets against different uncertainty shocks
Hasan, Md Bokhtiar, Hassan, M Kabir, Rashid, Mamunur, Akter, Tanzila and Rafia, Humaira Tahsin 2024. The resilience of ethical assets against different uncertainty shocks. Heliyon. 10 (24), p. e40980. https://doi.org/10.1016/j.heliyon.2024.e40980Creating a religious identity and impression management by Islamic banks
Maali, B.M., Hassan, M. and Rashid, M. 2024. Creating a religious identity and impression management by Islamic banks. International Journal of Islamic and Middle Eastern Finance and Management. 17 (4), pp. 693-710. https://doi.org/10.1108/IMEFM-05-2024-0240Cushion hypothesis and credit risk: Islamic versus conventional banks from the MENA region.
Abdeljawad, I., Rashid, Mamunur, Abu Alia, Muiz, Qushtom, R., Irshaid, Mahmoud and Sahyouni, Ahmad 2024. Cushion hypothesis and credit risk: Islamic versus conventional banks from the MENA region. PLoS ONE. 19 (7), p. e0306901. https://doi.org/10.1371/journal.pone.0306901