Asymmetric connectedness across Asia-Pacific currencies: Evidence from time-frequency domain analysis

Zaheer Anwer, Muhammad Abubakr Naeem, M. Kabir Hassan and Sitara Karim

Finance Research Letters, 2022, vol. 47, issue PB

Abstract: We estimate the asymmetric time- and frequency connectedness across 11 Asia-Pacific exchange rates using daily data from Jan 1995 to Mar 2021. Our results reveal that in terms of static spillover, Asia-Pacific currencies are mainly disconnected except Australian Dollar and Singapore Dollar during normal times. The currencies form contagions during crisis periods. The currencies form positive and negative clusters during both short and long run. In terms of time-domain spillover, the pattern of daily return connectedness shows that the currencies of developed (emerging) economies are net transmitters (receivers) of shocks. We observe positive short run contagions (devaluation) of sampled currencies during Asian Financial Crisis and COVID19 pandemic. There are negative (appreciation) long run spillovers during Argentinean debt crisis and Chinese financial market crisis and positive long run contagions during Global Financial Crisis. The study carries important implications for policy makers and investors.

Keywords: Exchange rates; Time-frequency domain analysis; Asia-Pacific countries; Currency connectedness (search for similar items in EconPapers)
JEL-codes: F31 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000952

DOI: 10.1016/j.frl.2022.102782

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