Does the regional proximity lead to exchange rate spillover?

Zaheer Anwer, Ashraf Khan, M. Kabir Hassan and Mamunur Rashid

Journal of International Financial Markets, Institutions and Money, 2022, vol. 81, issue C

Abstract: To understand whether regional proximity leads to exchange rate connectedness, we explore dynamic co-movement of currencies from two important regions namely the South Asian Association for Regional Cooperation and Association of Southeast Asian Nations by using Continuous Wavelet Transformation approach. Our results reveal very little co-movement between member currencies of both regions and imply that regional proximity does not necessarily translate into exchange rate connectedness. The results remain robust to alternate specifications. Our findings carry important implications for academia and policymakers.

Keywords: Exchange Rates; Currency connectedness; SAARC; ASEAN; Wavelet (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:81:y:2022:i:c:s1042443122001482

DOI: 10.1016/j.intfin.2022.101676

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