{"title":"Linkages Between the Foreign Exchange Markets of BRIC Countries—Brazil, Russia, India and China—and the USA","authors":"R. Aroul, Peggy E. Swanson","doi":"10.1177/0972652718800081","DOIUrl":null,"url":null,"abstract":"The past decade has witnessed increasing trade and capital flow movements between BRIC countries (Brazil, Russia, India and China) and the USA indicating a need for a better understanding of currency linkages between these countries. This article examines long-run and short-run relationships between foreign exchange markets of BRIC countries and the USA. Long-run results indicate that, over a period beginning January 2000 and ending November 2013, the currency markets of China, India and the USA are tied together, implying that from the perspective of the US investor, the markets of Brazil and Russia provide the greater diversification benefits. Further, the USA is found to be the source of the common trend (CT), suggesting that it leads the three (cointegrated) markets towards the long-run equilibrium relationships. Brazil and India share no short-run lead-lag relationship with the USA. JEL Classification: F31, G15","PeriodicalId":44100,"journal":{"name":"Journal of Emerging Market Finance","volume":"17 1","pages":"333 - 353"},"PeriodicalIF":1.2000,"publicationDate":"2018-10-25","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1177/0972652718800081","citationCount":"6","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Emerging Market Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1177/0972652718800081","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 6
Abstract
The past decade has witnessed increasing trade and capital flow movements between BRIC countries (Brazil, Russia, India and China) and the USA indicating a need for a better understanding of currency linkages between these countries. This article examines long-run and short-run relationships between foreign exchange markets of BRIC countries and the USA. Long-run results indicate that, over a period beginning January 2000 and ending November 2013, the currency markets of China, India and the USA are tied together, implying that from the perspective of the US investor, the markets of Brazil and Russia provide the greater diversification benefits. Further, the USA is found to be the source of the common trend (CT), suggesting that it leads the three (cointegrated) markets towards the long-run equilibrium relationships. Brazil and India share no short-run lead-lag relationship with the USA. JEL Classification: F31, G15
期刊介绍:
The Journal of Emerging Market Finance is a forum for debate and discussion on the theory and practice of finance in emerging markets. While the emphasis is on articles that are of practical significance, the journal also covers theoretical and conceptual aspects relating to emerging financial markets. Peer-reviewed, the journal is equally useful to practitioners and to banking and investment companies as to scholars.