Time-frequency co-movement and cross-quantile connectedness of exchange rates: Evidence from ASEAN+3 Countries

IF 2.9 3区 经济学 Q1 ECONOMICS
Huiming Zhu , Xi Deng , Yinghua Ren , Xi Huang
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引用次数: 0

Abstract

This study investigates the time-frequency co-movement and cross-quantile connectedness of exchange rates. Using wavelet coherence and cross-quantile methods, we examine ASEAN+ 3 countries’ time-frequency co-movement, quantile spillover effects, and network connectedness of the exchange rate markets. Our empirical results are as follows: significant co-movement heterogeneity exists across countries over different frequency bands. Moreover, the Chinese Yuan (CNY), Japanese Yen, and South Korea Won are desirable sources of diversification for other currencies across different investment horizons. CNY and JPY exhibit good regional safe haven currency attributes in different investment horizons. Overall, these findings suggest ways for currency authorities to maintain exchange rate stability and investor portfolio decisions.

汇率的时频共振和跨量纲关联性:东盟+3 国家的证据
本研究探讨了汇率的时频共振和跨量联动性。我们利用小波相干性和跨量纲方法,研究了东盟+3 国家汇率市场的时频共振、量纲溢出效应和网络关联性。我们的实证结果如下:不同国家在不同频段上存在显著的同向异质性。此外,在不同的投资期限内,人民币、日元和韩元是分散其他货币的理想来源。在不同的投资期限内,人民币和日元表现出良好的区域避险货币属性。总之,这些发现为货币管理机构维护汇率稳定和投资者投资组合决策提供了建议。
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来源期刊
CiteScore
6.00
自引率
2.90%
发文量
118
期刊介绍: The Quarterly Review of Economics and Finance (QREF) attracts and publishes high quality manuscripts that cover topics in the areas of economics, financial economics and finance. The subject matter may be theoretical, empirical or policy related. Emphasis is placed on quality, originality, clear arguments, persuasive evidence, intelligent analysis and clear writing. At least one Special Issue is published per year. These issues have guest editors, are devoted to a single theme and the papers have well known authors. In addition we pride ourselves in being able to provide three to four article "Focus" sections in most of our issues.
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