{"title":"Exchange rate spillovers in the CIS","authors":"Salome Giorgadze","doi":"10.1007/s40822-024-00268-w","DOIUrl":null,"url":null,"abstract":"<p>This paper estimates macroeconomic connectedness in the CIS (the Commonwealth of Independent States) through risk spillovers via the exchange rates. We collect high frequency daily data on exchange rates from January 2006 to July 2020 and use the Diebold-Yilmaz method of variance decomposition, as well as the Barunik-Krehlik method of frequency variance decomposition, for the analysis. We find that macroeconomic risk in the region increases significantly during macroeconomic shocks and that it has maintained a higher average level since 2015, a difficult year full of regional and global challenges. Our findings also show that currencies managed by more flexible exchange rate regimes on average transmit macroeconomic risk in the region. Frequency variance decomposition demonstrates that while the majority of risk transmission is smaller-scale and short-lived, spillovers from main regional and global crises are bigger and more persistent. Although short-term connectedness dominates the overall variance of the system, more severe macroeconomic shocks resonate greatly on all time horizons, i.e. they impact the system for a longer period of time and more deeply.</p>","PeriodicalId":45064,"journal":{"name":"Eurasian Economic Review","volume":"47 1","pages":""},"PeriodicalIF":2.5000,"publicationDate":"2024-04-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Eurasian Economic Review","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1007/s40822-024-00268-w","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"ECONOMICS","Score":null,"Total":0}
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Abstract
This paper estimates macroeconomic connectedness in the CIS (the Commonwealth of Independent States) through risk spillovers via the exchange rates. We collect high frequency daily data on exchange rates from January 2006 to July 2020 and use the Diebold-Yilmaz method of variance decomposition, as well as the Barunik-Krehlik method of frequency variance decomposition, for the analysis. We find that macroeconomic risk in the region increases significantly during macroeconomic shocks and that it has maintained a higher average level since 2015, a difficult year full of regional and global challenges. Our findings also show that currencies managed by more flexible exchange rate regimes on average transmit macroeconomic risk in the region. Frequency variance decomposition demonstrates that while the majority of risk transmission is smaller-scale and short-lived, spillovers from main regional and global crises are bigger and more persistent. Although short-term connectedness dominates the overall variance of the system, more severe macroeconomic shocks resonate greatly on all time horizons, i.e. they impact the system for a longer period of time and more deeply.
期刊介绍：
The mission of Eurasian Economic Review is to publish peer-reviewed empirical research papers that test, extend, or build theory and contribute to practice. All empirical methods - including, but not limited to, qualitative, quantitative, field, laboratory, and any combination of methods - are welcome. Empirical, theoretical and methodological articles from all fields of finance and applied macroeconomics are featured in the journal. Theoretical and/or review articles that integrate existing bodies of research and that provide new insights into the field are highly encouraged. The journal has a broad scope, addressing such issues as: financial systems and regulation, corporate and start-up finance, macro and sustainable finance, finance and innovation, consumer finance, public policies on financial markets within local, regional, national and international contexts, money and banking, and the interface of labor and financial economics. The macroeconomics coverage includes topics from monetary economics, labor economics, international economics and development economics.
Eurasian Economic Review is published quarterly. To be published in Eurasian Economic Review, a manuscript must make strong empirical and/or theoretical contributions and highlight the significance of those contributions to our field. Consequently, preference is given to submissions that test, extend, or build strong theoretical frameworks while empirically examining issues with high importance for theory and practice. Eurasian Economic Review is not tied to any national context. Although it focuses on Europe and Asia, all papers from related fields on any region or country are highly encouraged. Single country studies, cross-country or regional studies can be submitted.
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