Time-frequency co-movement and cross-quantile connectedness of exchange rates: Evidence from ASEAN+3 Countries

Huiming Zhu, Xi Deng, Yinghua Ren and Xi Huang

The Quarterly Review of Economics and Finance, 2024, vol. 98, issue C

Abstract: This study investigates the time-frequency co-movement and cross-quantile connectedness of exchange rates. Using wavelet coherence and cross-quantile methods, we examine ASEAN+ 3 countries’ time-frequency co-movement, quantile spillover effects, and network connectedness of the exchange rate markets. Our empirical results are as follows: significant co-movement heterogeneity exists across countries over different frequency bands. Moreover, the Chinese Yuan (CNY), Japanese Yen, and South Korea Won are desirable sources of diversification for other currencies across different investment horizons. CNY and JPY exhibit good regional safe haven currency attributes in different investment horizons. Overall, these findings suggest ways for currency authorities to maintain exchange rate stability and investor portfolio decisions.

Keywords: Exchange rates; Time-frequency Co-movement; Cross-quantile Connectedness; ASEAN+ 3 (search for similar items in EconPapers)
JEL-codes: F31 O24 (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001261

DOI: 10.1016/j.qref.2024.101920

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