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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| Format: | Article |
| Language: | English |
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EconJournals
2023-03-01
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| Series: | International Journal of Energy Economics and Policy |
| Subjects: | |
| Online Access: | https://econjournals.com/index.php/ijeep/article/view/13846 |
| _version_ | 1827980441820332032 |
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| author | Thobekile Qabhobho Anokye M. Adam Anthony Adu-Asare Idun Emmanuel Asafo-Adjei Ebenezer Boateng |
| author_facet | Thobekile Qabhobho Anokye M. Adam Anthony Adu-Asare Idun Emmanuel Asafo-Adjei Ebenezer Boateng |
| author_sort | Thobekile Qabhobho |
| collection | DOAJ |
| description |
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 specifically employed. We reveal that the average value of the total connectedness index (TCI) is 46.91%, for the specific network of energy commodities, currency rates, and volatilities. Also, from the averaged dynamic connectedness, the global energy commodity index demonstrated the most transmitter of shocks. Conversely, BRICS currency markets (except for Brazilian Rubble) and most implied energy volatilities and realised exchange rate volatilities were net receivers of shocks. Moreover, the total connectivity indices were seen to vary significantly during the study sample period with strong susceptibility to crisis periods, especially, the COVID-19 pandemic. We advocate that most volatilities were consistent net transmitters across time as indicated by the net directional connectedness. The findings imply that in a network of energy commodities, exchange rate, and volatilities, risk minimisation is elated to boost investors’ confidence across time.
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| first_indexed | 2024-04-09T21:53:17Z |
| format | Article |
| id | doaj.art-8ec2bda57a294070946a3d0e7d30ae07 |
| institution | Directory Open Access Journal |
| issn | 2146-4553 |
| language | English |
| last_indexed | 2024-04-09T21:53:17Z |
| publishDate | 2023-03-01 |
| publisher | EconJournals |
| record_format | Article |
| series | International Journal of Energy Economics and Policy |
| spelling | doaj.art-8ec2bda57a294070946a3d0e7d30ae072023-03-24T10:14:17ZengEconJournalsInternational Journal of Energy Economics and Policy2146-45532023-03-0113210.32479/ijeep.13846Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and VolatilitiesThobekile Qabhobho0Anokye M. Adam1Anthony Adu-Asare Idun2Emmanuel Asafo-Adjei3Ebenezer Boateng4Department of Economics, Faculty of Business and Economic Sciences, Nelson Mandela University, Port Elizabeth, South Africa,Department of Finance, School of Business, University of Cape Coast, Cape Coast, Ghana.Department of Finance, School of Business, University of Cape Coast, Cape Coast, Ghana.Department of Finance, School of Business, University of Cape Coast, Cape Coast, Ghana.Department of Finance, School of Business, University of Cape Coast, Cape Coast, Ghana. 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 specifically employed. We reveal that the average value of the total connectedness index (TCI) is 46.91%, for the specific network of energy commodities, currency rates, and volatilities. Also, from the averaged dynamic connectedness, the global energy commodity index demonstrated the most transmitter of shocks. Conversely, BRICS currency markets (except for Brazilian Rubble) and most implied energy volatilities and realised exchange rate volatilities were net receivers of shocks. Moreover, the total connectivity indices were seen to vary significantly during the study sample period with strong susceptibility to crisis periods, especially, the COVID-19 pandemic. We advocate that most volatilities were consistent net transmitters across time as indicated by the net directional connectedness. The findings imply that in a network of energy commodities, exchange rate, and volatilities, risk minimisation is elated to boost investors’ confidence across time. https://econjournals.com/index.php/ijeep/article/view/13846Time-varyingHeterogeneityVolatility spilloverAdaptive market hypothesisEnergy commodities |
| spellingShingle | Thobekile Qabhobho Anokye M. Adam Anthony Adu-Asare Idun Emmanuel Asafo-Adjei Ebenezer Boateng Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities International Journal of Energy Economics and Policy Time-varying Heterogeneity Volatility spillover Adaptive market hypothesis Energy commodities |
| title | Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities |
| title_full | Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities |
| title_fullStr | Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities |
| title_full_unstemmed | Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities |
| title_short | Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities |
| title_sort | exploring the time varying connectedness and contagion effects among exchange rates of brics energy commodities and volatilities |
| topic | Time-varying Heterogeneity Volatility spillover Adaptive market hypothesis Energy commodities |
| url | https://econjournals.com/index.php/ijeep/article/view/13846 |
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