IDEAS home Printed from https://ideas.repec.org/a/mes/emfitr/v54y2018i7p1538-1556.html
   My bibliography  Save this article

Dynamic Currency Linkages and Their Determinants: An Empirical Study for East Asian Economic Community Region

Author

Listed:
  • Piyush Pandey
  • Sanjay Sehgal

Abstract

In this article, Copula GARCH models have been employed to study the inter-temporal process of currency market co-movements between ASEAN+6 countries (referred to in this study as East Asian Economic Community) and ASEAN+6 currency market index. Empirical results show that the sample countries of the region exhibit varying levels of currency co-movements with the Asian benchmark. Markov regime switching results show that many of the countries which had high dependences with the regional currency index as was found in copula estimations had also overlapping currency market cycles. Using Principal Component Analysis, we find that three statistical factors explain exchange rate co-movements which came out to be trade linkages, economic risk, and currency market openness in our dynamic panel data estimation.

Suggested Citation

  • Piyush Pandey & Sanjay Sehgal, 2018. "Dynamic Currency Linkages and Their Determinants: An Empirical Study for East Asian Economic Community Region," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 54(7), pages 1538-1556, May.
    • Handle: RePEc:mes:emfitr:v:54:y:2018:i:7:p:1538-1556
    DOI: 10.1080/1540496X.2017.1380621
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/1540496X.2017.1380621
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/1540496X.2017.1380621?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Dibooglu, Sel & Erdogan, Seyfettin & Yildirim, Durmus Cagri & Cevik, Emrah Ismail, 2020. "Financial conditions and monetary policy in the US," Economic Systems, Elsevier, vol. 44(4).
    2. Mensi, Walid & Alomari, Mohammad & Vo, Xuan Vinh & Kang, Sang Hoon, 2023. "Extreme quantile spillovers and connectedness between oil and Chinese sector markets: A portfolio hedging analysis," The Journal of Economic Asymmetries, Elsevier, vol. 28(C).
    3. Bhatia, Shipra & Tuteja, Divya, 2024. "Contagion and linkages across international currencies," International Review of Financial Analysis, Elsevier, vol. 94(C).
    4. Anwer, Zaheer & Naeem, Muhammad Abubakr & Hassan, M. Kabir & Karim, Sitara, 2022. "Asymmetric connectedness across Asia-Pacific currencies: Evidence from time-frequency domain analysis," Finance Research Letters, Elsevier, vol. 47(PB).
    5. Wen, Fenghua & Wang, Kangsheng & Zeng, Aiqing, 2024. "Return spillover across the carbon market and financial markets: A quantile-based approach," Research in International Business and Finance, Elsevier, vol. 69(C).
    6. Dai, Zhifeng & Zhang, Xiaotong & Yin, Zhujia, 2023. "Extreme time-varying spillovers between high carbon emission stocks, green bond and crude oil: Evidence from a quantile-based analysis," Energy Economics, Elsevier, vol. 118(C).
    7. Alomari, Mohammad & Mensi, Walid & Vo, Xuan Vinh & Kang, Sang Hoon, 2022. "Extreme return spillovers and connectedness between crude oil and precious metals futures markets: Implications for portfolio management," Resources Policy, Elsevier, vol. 79(C).
    8. Bouri, Elie & Lucey, Brian & Saeed, Tareq & Vo, Xuan Vinh, 2020. "Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis," International Review of Financial Analysis, Elsevier, vol. 72(C).
    9. Anwer, Zaheer & Khan, Ashraf & Kabir Hassan, M. & Rashid, Mamunur, 2022. "Does the regional proximity lead to exchange rate spillover?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:mes:emfitr:v:54:y:2018:i:7:p:1538-1556. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/MREE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.