Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/270689 
Year of Publication: 
2019
Citation: 
[Journal:] Cogent Economics & Finance [ISSN:] 2332-2039 [Volume:] 7 [Issue:] 1 [Article No.:] 1681581 [Year:] 2019 [Pages:] 1-31
Publisher: 
Taylor & Francis, Abingdon
Abstract: 
In this article, we examine the dynamic currency linkages for BRIS (Brazil, Russia, India and South Africa) and 15 other emerging market economies (EMEs) using weekly data from 2001 to 2018. Using the asymmetric dynamic conditional correlation (ADCC)-EGRARCH framework, we find that the average correlation between BRIS currencies in the pre-crisis period is low and stood at 0.29, which rose to 0.39 in the post-crisis period implying contagion effects. Based on both ADCC results and Diebold-Yilmaz, Vector Autoregressive (VAR)framework enhanced by Greenwood-Nimmo block aggregation technique, we find that Brazil is a net transmitter while Russia, India and South Africa seem to be net receivers of information based on the first two moments. We further find empirical support for expanding BRIS into a larger economic block. Based on prior research findings on equity market linkages on BRICS and EMEs as well as our work on currency market linkages, we suggest Mexico, Poland and Hungary as potential candidates to be included in this economic block in the first phase. Turkey, Chile, Columbia and Romania may be included in the next phase as they dominate BRIS in either stock or currency markets of BRIS. This study is pertinent for global policymakers, international monetary agencies, currency investors and academia.
Subjects: 
BRICS
EMEs
return spillovers
volatility spillovers
ADCC
Diebold-Yilmazcurrency
JEL: 
C13
C53
F21
F36
G15
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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