SPILLOVER EFFECTS OF EXCHANGE RATE RETURNS IN SELECTED ASIAN COUNTRIES

Neluka Devpura ()
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Neluka Devpura: University of Sri Jayewardenepura

Bulletin of Monetary Economics and Banking, 2021, vol. 24, issue 1, 35-52

Abstract: We analyze the nature of exchange rate return spillovers for 16 currencies. We use 10 years of daily exchange rate data, covering January 01, 2010 to December 31, 2019. By using the spillover index proposed by Diebold and Yilmaz (2009, 2012), we provide empirical evidence on the spillover of exchange rate returns among the Asian countries. The largest spillover flows from the Singapore dollar to other currencies (16.49%). Overall, our results confirm the presence of exchange rate return spillovers within the Asian countries and about 22% of the forecast error variance is due to spillovers.

Keywords: Exchange rates; Spillover effects; Spillover index. (search for similar items in EconPapers)
JEL-codes: C40 F02 G20 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:idn:journl:v:24:y:2021:i:1b:p:35-52

DOI: 10.21098/bemp.v24i1.1301

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