Does the regional proximity lead to exchange rate spillover?

Zaheer Anwer,Ashraf Khan,M. Kabir Hassan,Mamunur Rashid

Journal of International Financial Markets, Institutions and Money（2022）

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摘要

•We explore dynamic co-movement of currencies from SAARC5 and ASEAN4 regions.•Our results reveal very little co-movement between member currencies of both the regions.•The regional proximity does not necessarily translate in exchange rate connectedness.

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关键词

Exchange Rates,Currency connectedness,SAARC,ASEAN,Wavelet

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