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Interconnectedness and return spillover among APEC currency exchange rates: A time-frequency analysis

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  • Kakran, Shubham
  • Bajaj, Parminder Kaur
  • Pandey, Dharen Kumar
  • Kumar, Ashish

Abstract

By combining TVP-VAR Model (time domain connectedness) and TVP-VAR based Baruník and Křehlík model (frequency domain connectedness), this study analyzes the impact of the COVID-19 pandemic, the Russia-Ukraine war, and the Silicon Valley Bank (SVB) collapse on the Asia Pacific Economic Cooperation (APEC) forum currency exchange rates. The results reveal that APEC currencies have time-varying effects (tend to cluster in appreciation and depreciation patterns in both the short and long term) and have generated higher total return spillover during COVID-19 (in the time domain) than the Russia-Ukraine war and SVB collapse. During COVID-19 (87.18 %) (total return spillover), impacts were more severe than the Russia-Ukraine crisis (79.49 %) and the Silicon Valley Bank collapse (75.55 %). Moreover, the South Korean won, Thai Bhat and Australian Dollar are identified as consistent shock transmitters, and Malaysian Ringgit, Philippine peso, Indonesian Rupiah, and Chinese Yuan as consistent shock receivers in the time domain. The findings have substantial repercussions for financial regulators and investors.

Suggested Citation

  • Kakran, Shubham & Bajaj, Parminder Kaur & Pandey, Dharen Kumar & Kumar, Ashish, 2025. "Interconnectedness and return spillover among APEC currency exchange rates: A time-frequency analysis," Research in International Business and Finance, Elsevier, vol. 73(PA).
    • Handle: RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003659
    DOI: 10.1016/j.ribaf.2024.102572
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    More about this item

    Keywords

    Asia Pacific Economic Cooperation; COVID-19; Russia–Ukraine war; Silicon valley bank collapse; Spillover; Currency exchange rate;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration

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