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Does the strength of the US dollar affect the interdependence among currency exchange rates of RCEP and CPTPP countries?

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  • Wang, Mengjiao
  • Liu, Jianxu
  • Yang, Bing

Abstract

This study investigates the interdependence among currency exchange rates of Regional Comprehensive Economic Partnership (RCEP) and Comprehensive and Progressive Agreement for Trans-Pacific Partnership (CPTPP) countries using regular vine copula model. We examine the asymmetric impact of the strength of US dollar (USD) on the dynamic dependence between currencies. The findings show that Singapore and Australian dollars play dominant roles in the currency network. The USD strength significantly affects the co-movements between currencies with the strongest correlations; and the influence of USD strength can be amplified during strong-dollar periods. Furthermore, shrinking USD liquidity, which is typically accompanied by a strong dollar cycle, generally increases currency dependence within the RCEP and CPTPP.

Suggested Citation

  • Wang, Mengjiao & Liu, Jianxu & Yang, Bing, 2024. "Does the strength of the US dollar affect the interdependence among currency exchange rates of RCEP and CPTPP countries?," Finance Research Letters, Elsevier, vol. 62(PA).
    • Handle: RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001405
    DOI: 10.1016/j.frl.2024.105110
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