What drives currency connectedness? Evidence from the BRICS currencies

Shi He, Zhengtao Cheng, Wenhao Wang and Zihao Luo

Applied Economics, 2025, vol. 57, issue 1, 67-85

Abstract: With the rapid growth of the BRICS countries, their currencies have attracted wide attention. This study examines the dynamic connectedness of BRICS currencies and identifies the drivers of currency connectedness using a time-varying vector autoregressive (VAR) approach and a modified dynamic model averaging method. Our results indicate that dramatic changes in the currencies’ total and net connectedness are related to influential economic, financial, and political events. ZAR is a consistent net transmitter, INR and CNY are consistent net recipients, whereas BRL and RUB switched roles frequently. The risk and uncertainty indices, especially the VIX and SKEW, were the most pronounced drivers affecting the total and net connectedness among the selected drivers. The remaining factors (i.e. commodity prices, asset markets, and leading global currencies) generally had limited effects but played important roles in certain influential events.

Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/00036846.2024.2333712 (text/html)
Access to full text is restricted to subscribers.

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:taf:applec:v:57:y:2025:i:1:p:67-85

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEC20

DOI: 10.1080/00036846.2024.2333712

Access Statistics for this article

Applied Economics is currently edited by Anita Phillips

More articles in Applied Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().