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

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 mea...

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Bibliographic Details
Published in:Journal of Asia-Pacific business 2020-04, Vol.21 (2), p.80-101
Main Authors: Mishra, Bibhuti Ranjan, Pradhan, Ashis Kumar, Tiwari, Aviral Kumar, Dash, Aruna Kumar, Aruna, Mothkuri
Format: Article
Language:English
Subjects:
Connectedness
DY spillover
Foreign exchange market
Foreign exchange rates
GJR-GARCH
India
Markets
Multinational corporations
Trading
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Summary: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.
ISSN:1059-9231
1528-6940
1547-0636
DOI:10.1080/10599231.2020.1745047