Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities

Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities

This paper investigates the total and net directional connectedness of the energy market and currency market amid volatilities (local and international) of BRICS for the period May 7, 2012 to March 31, 2022. The Time-varying parameter Vector Autoregression (TVP-VAR) connectedness approach is specif...

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Bibliographic Details
Main Authors: Thobekile Qabhobho, Anokye M. Adam, Anthony Adu-Asare Idun, Emmanuel Asafo-Adjei, Ebenezer Boateng
Format: Article
Language:English
Published: EconJournals 2023-03-01
Series:International Journal of Energy Economics and Policy
Subjects:
Time-varying
Heterogeneity
Volatility spillover
Adaptive market hypothesis
Energy commodities
Online Access:https://econjournals.com/index.php/ijeep/article/view/13846

Internet

https://econjournals.com/index.php/ijeep/article/view/13846

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