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Examining dynamic currency linkages amongst South Asian economies: An empirical study

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  • Sehgal, Sanjay
  • Pandey, Piyush
  • Diesting, Florent

Abstract

In this paper, we examine the currency market linkages of South Asian member countries using daily data from 6 January 2004 to 31st March 2016. Time invariant and varying Copula GARCH models show that South Asian countries, except for India and Nepal/Bhutan, have low levels of currency market linkages which can be ascribed to poor levels of intra-regional trade intensity and portfolio flows. We reconfirm the copula results through Diebold and Yilmaz methodology and document that currency market connectedness is very limited in the South Asian region. The trends of the fundamental determinants of currency co-movements for the South Asian member countries were compared with its neighbouring regional economic bloc in Asia which has a much longer history and a wider membership base i.e ASEAN+6. From a comparative analysis, it was found that South Asia member states have to work on their governance parameters, improve on their trade linkages and trade tariffs and work towards greater degree of capital account convertibility with adequate safeguards to achieve higher levels of currency market linkages.

Suggested Citation

  • Sehgal, Sanjay & Pandey, Piyush & Diesting, Florent, 2017. "Examining dynamic currency linkages amongst South Asian economies: An empirical study," Research in International Business and Finance, Elsevier, vol. 42(C), pages 173-190.
  • Handle: RePEc:eee:riibaf:v:42:y:2017:i:c:p:173-190
    DOI: 10.1016/j.ribaf.2017.05.008
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    More about this item

    Keywords

    Currency market integration; Currency linkages; South Asia; SAARC; Time varying copula; Diebold and yilmaz;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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