Frequency domain cross-quantile coherency and connectedness network of exchange rates: Evidence from ASEAN+3 countries

Huiming Zhu, Tian Zeng, Xinghui Wang and Xiling Xia

The North American Journal of Economics and Finance, 2025, vol. 75, issue PA

Abstract: This study examines the frequency domain connectedness and synchronization between the exchange rates of Association of Southeast Asian Nations (ASEAN) member countries and those of China, Japan, and South Korea across quantile levels. We propose a quantile cross-spectrum of exchange rates to establish the coherency of connectedness and synchronization measurements. Our empirical results are as follows: First, the return connectedness between the exchange rates is heterogeneous, being stronger in the long run than in the short run and more pronounced under normal market conditions than under extreme market conditions. Second, the dynamic return connectedness among the exchange rates follows a similar trend in the monthly and yearly cycles. Third, exchange rate returns and volatility exhibit long-term synchronization. However, short-term heterogeneity persists across market conditions and investment horizons. Overall, these findings offer valuable insights for monetary authorities in their efforts to maintain exchange rate stability and for investors in making informed portfolio decisions.

Keywords: Frequency domain connectedness; Cross-quantile coherency; Exchange rates; Cross-quantile network; ASEAN+3 countries (search for similar items in EconPapers)
JEL-codes: C01 C58 F31 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001840

DOI: 10.1016/j.najef.2024.102259

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