印度主要贸易伙伴的汇率回报率和波动性溢出

Q3 Business, Management and Accounting

Journal of Asia-Pacific Business Pub Date : 2020-04-02 DOI:10.1080/10599231.2020.1745047

Bibhuti Ranjan Mishra, A. Pradhan, A. Tiwari, Aruna Kumar Dash, M. Aruna

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引用次数: 4

摘要

摘要:我们研究了关于印度卢比的一系列四种汇率之间的联系。Diebold和Yilmaz方法测量时域连通性的结果表明，系统的总体连通性为30.15%。测量频域连通性的Baruník和Křehlík方法的结果表明，在总连通性中，最大贡献来自最高频率(14.27%)，最低贡献来自第二低频率(2.03%)。最后，用滚动窗方法对动态连通性进行了检验。这些结果对于理解不同汇率市场之间的联系是非常重要的。

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Exchange Rate Return and Volatility Spillover across Major Trading Partners of India

ABSTRACT We examine the connectedness among the series of four exchange rates with respect to the Indian Rupee. The results of Diebold and Yilmaz method which measures time-domain connectedness, show that the overall connectedness of the system is 30.15%. The results of Baruník and Křehlík approach which measures frequency-domain connectedness, exhibit that in the total connectedness the maximum contribution is from highest frequency (14.27%) and the lowest contribution is made by the second-lowest frequency (2.03%). Finally, the dynamic connectedness is also examined with rolling window methods. These results are very critical in understanding the connectedness among various exchange rate markets.

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来源期刊

Journal of Asia-Pacific Business Business, Management and Accounting-Business and International Management

CiteScore

2.50

自引率

0.00%

发文量

期刊介绍： Present circumstances underscore the need to improve the understanding of conducting business with and within the Asia-Pacific countries. The Journal of Asia-Pacific Business™ provides a blend of cutting-edge knowledge and practical applications on business management and marketing strategy. In the Journal of Asia-Pacific Business™, you will find articles and feature sections that provide a pragmatic view of the business environment in this dynamic region. This essential resource offers readers a good blend of descriptive, conceptual, and theoretical articles dealing with current topics.