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Spillover Effects Of Exchange Rate Returns In Selected Asian Countries

Author

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  • Neluka Devpura

    (University of Sri Jayewardenepura)

Abstract

We analyze the nature of exchange rate return spillovers for 16 currencies. We use 10 years of daily exchange rate data, covering January 01, 2010 to December 31, 2019. By using the spillover index proposed by Diebold and Yilmaz (2009, 2012), we provide empirical evidence on the spillover of exchange rate returns among the Asian countries. The largest spillover flows from the Singapore dollar to other currencies (16.49%). Overall, our results confirm the presence of exchange rate return spillovers within the Asian countries and about 22% of the forecast error variance is due to spillovers.

Suggested Citation

  • Neluka Devpura, 2021. "Spillover Effects Of Exchange Rate Returns In Selected Asian Countries," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 24(1), pages 35-52, March.
    • Handle: RePEc:idn:journl:v:24:y:2021:i:1b:p:35-52
    DOI: https://doi.org/10.21098/bemp.v24i1.1301
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    Cited by:

    1. Li, Kaifeng & Devpura, Neluka & Cheng, Sijia, 2022. "How did the oil price affect Japanese yen and other currencies? Fresh insights from the COVID-19 pandemic," Pacific-Basin Finance Journal, Elsevier, vol. 75(C).

    More about this item

    Keywords

    Exchange rates; Spillover effects; Spillover index.;
    All these keywords.

    JEL classification:

    • C40 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - General
    • G20 - Financial Economics - - Financial Institutions and Services - - - General
    • F02 - International Economics - - General - - - International Economic Order and Integration

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