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A Comparative Analysis of Currency Volatility among BRICS Countries

Author

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  • Mulatu Zerihun
  • Marthinus Breitenbach
  • Bernard Njindan Iyke

Abstract

In recent years, exchange rates of the BRICS countries have all experienced periods of high volatility. Thus far, no study has simultaneously compared the volatility of the BRICS currencies and analyzed the dependence and causal structure of relative volatility of these peer currencies. We addressed this issue by using monthly data from January 1995 to January 2017. We find that:(i) Brazil, India and China are more competitive than South Africa, on average, while South Africa, in turn, is only more competitive than Russia;(ii) the rand has been more volatile than the Brazilian real and the Russian ruble, but less volatile than the Chinese renminbi and the Indian rupee; (iii) there are inter-currency volatility correlations among the real, renminbi, ruble, and rand;(iv) the renminbi return volatility causes return volatility in the real, ruble, and rand.

Suggested Citation

  • Mulatu Zerihun & Marthinus Breitenbach & Bernard Njindan Iyke, 2020. "A Comparative Analysis of Currency Volatility among BRICS Countries," Journal of African Business, Taylor & Francis Journals, vol. 21(1), pages 78-104, January.
    • Handle: RePEc:taf:wjabxx:v:21:y:2020:i:1:p:78-104
    DOI: 10.1080/15228916.2019.1587805
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    Cited by:

    1. Astrid Ayala & Szabolcs Blazsek & Adrian Licht, 2022. "Score-driven stochastic seasonality of the Russian rouble: an application case study for the period of 1999 to 2020," Empirical Economics, Springer, vol. 62(5), pages 2179-2203, May.
    2. Iyke, Bernard Njindan & Ho, Sin-Yu, 2021. "Exchange rate exposure in the South African stock market before and during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 43(C).

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