Connectedness Between Natural Gas Price and BRICS Exchange Rates: Evidence from Time and Frequency Domains

Yijin He, Tadahiro Nakajima and Shigeyuki Hamori
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Yijin He: Graduate School of Economics, Kobe University, 2-1, Rokkodai, Nada-Ku, Kobe 657-8501, Japan

Energies, 2019, vol. 12, issue 20, 1-28

Abstract: In this paper, we investigate the connectedness between natural gas and BRICS (Brazil, Russia, India, China, and South Africa)’s exchange rate in terms of time and frequency. This empirical work is based on the approach of connectedness proposed by Diebold and Yilmaz, who provided an effective way of valuing how much variation in one variable is responsible for the value of other variables, and the method proposed by Baruník and K?ehlík, who decomposed the results from Diebold and Yilmaz into different frequencies. We also use the rolling-window method to conduct time-varying analysis. The data used in this paper are from 23 August 2010 to 20 June 2019. We find that the natural gas price hardly influences BRICS’s exchange rates, which provides an important practical implication for policymakers, especially in oil-dependent countries.

Keywords: BRICS; exchange rates; connectedness; time domain; frequency domain (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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