Does the strength of the US dollar affect the interdependence among currency exchange rates of RCEP and CPTPP countries?

Mengjiao Wang, Jianxu Liu and Bing Yang

Finance Research Letters, 2024, vol. 62, issue PA

Abstract: This study investigates the interdependence among currency exchange rates of Regional Comprehensive Economic Partnership (RCEP) and Comprehensive and Progressive Agreement for Trans-Pacific Partnership (CPTPP) countries using regular vine copula model. We examine the asymmetric impact of the strength of US dollar (USD) on the dynamic dependence between currencies. The findings show that Singapore and Australian dollars play dominant roles in the currency network. The USD strength significantly affects the co-movements between currencies with the strongest correlations; and the influence of USD strength can be amplified during strong-dollar periods. Furthermore, shrinking USD liquidity, which is typically accompanied by a strong dollar cycle, generally increases currency dependence within the RCEP and CPTPP.

Keywords: Interdependence; Currency exchange rates; RCEP; CPTPP; USD strength (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612324001405
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001405

DOI: 10.1016/j.frl.2024.105110

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().