Time-varying volatility spillovers between real exchange rate and real commodity prices for emerging market economies

Durmuş Çağrı Yıldırım, Fatma Erdoğan and Elif Nur Tarı

Resources Policy, 2022, vol. 76, issue C

Abstract: This study aims to investigate real effective exchange rates and real commodity prices volatility transmission among Mexico, Indonesia and Turkey. According to the results, there is a bidirectional causality relationship between precious metals and the real exchange rate. However, this relationship varies over time. Especially in times of crisis such as the Covid-19 pandemic, the transfer of volatility disappears. Precious metals have a safe haven feature against the exchange rate. On the other hand, the reverse is not true. During the Covid period, the bilateral risk transfer between crude oil and exchange rate disappears. The crude oil and exchange rate have safe haven feature during the Covid-19 period. Only for Indonesia, there is risk transfer from oil to exchange rates.

Keywords: Time-varying volatility spillover; Real exchange rate; Real commodity prices; Emerging market economies (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S030142072200037X
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:jrpoli:v:76:y:2022:i:c:s030142072200037x

DOI: 10.1016/j.resourpol.2022.102586

Access Statistics for this article

Resources Policy is currently edited by R. G. Eggert

More articles in Resources Policy from Elsevier
Bibliographic data for series maintained by Catherine Liu ().