Directional predictability in foreign exchange rates of emerging markets: New evidence using a cross-quantilogram approach
This study investigates the directional predictability of exchange rates in emerging markets. Using a cross-quantilogram model, we show that dependencies among emerging markets exchange rates are heterogeneous. Specifically, the Mexican peso, Brazilian real, and Turkish lira are leading emerging mar...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2022-01-01
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| Series: | Borsa Istanbul Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2214845021000235 |
| _version_ | 1811227380740521984 |
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| author | Mohd Ziaur Rehman Aviral Kumar Tiwari Durga Prasad Samontaray |
| author_facet | Mohd Ziaur Rehman Aviral Kumar Tiwari Durga Prasad Samontaray |
| author_sort | Mohd Ziaur Rehman |
| collection | DOAJ |
| description | This study investigates the directional predictability of exchange rates in emerging markets. Using a cross-quantilogram model, we show that dependencies among emerging markets exchange rates are heterogeneous. Specifically, the Mexican peso, Brazilian real, and Turkish lira are leading emerging market currencies that provide hedging opportunities for currency investors. The structural dependencies across the pairs of exchange rates are evident at lag 1, and the relationships dissipate at longer lags. Secondly, the partial cross-quantilogram results indicate that oil is not a driving force of interrelationship among the exchange rates. Furthermore, the estimations of cross-quantile correlations from recursive subsamples reveal time-variant traits. If policymakers and financial regulators focus on comovements among emerging market currencies and distinguish net recipients from net transmitters in different environments, they can devise a surveillance system to adjust the market interdependence effects across emerging market foreign exchange rates. Therefore, they can promote the stability of emerging market currencies. |
| first_indexed | 2024-04-12T09:40:35Z |
| format | Article |
| id | doaj.art-e59ba65a14e24760aa6e327fb71673c7 |
| institution | Directory Open Access Journal |
| issn | 2214-8450 |
| language | English |
| last_indexed | 2024-04-12T09:40:35Z |
| publishDate | 2022-01-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Borsa Istanbul Review |
| spelling | doaj.art-e59ba65a14e24760aa6e327fb71673c72022-12-22T03:38:05ZengElsevierBorsa Istanbul Review2214-84502022-01-01221145155Directional predictability in foreign exchange rates of emerging markets: New evidence using a cross-quantilogram approachMohd Ziaur Rehman0Aviral Kumar Tiwari1Durga Prasad Samontaray2Department of Finance, College of Business Administration, King Saud University, Riyadh, Saudi Arabia; Corresponding author. Department of Finance, College of Business Administration, King Saud University, Riyadh, 71115, Saudi Arabia.Rajagiri Business School, Rajagiri Valley Campus, India; South Ural State University, Lenin Prospect 76, Chelyabinsk 454080, Russian FederationDepartment of Finance, College of Business Administration, King Saud University, Riyadh, Saudi ArabiaThis study investigates the directional predictability of exchange rates in emerging markets. Using a cross-quantilogram model, we show that dependencies among emerging markets exchange rates are heterogeneous. Specifically, the Mexican peso, Brazilian real, and Turkish lira are leading emerging market currencies that provide hedging opportunities for currency investors. The structural dependencies across the pairs of exchange rates are evident at lag 1, and the relationships dissipate at longer lags. Secondly, the partial cross-quantilogram results indicate that oil is not a driving force of interrelationship among the exchange rates. Furthermore, the estimations of cross-quantile correlations from recursive subsamples reveal time-variant traits. If policymakers and financial regulators focus on comovements among emerging market currencies and distinguish net recipients from net transmitters in different environments, they can devise a surveillance system to adjust the market interdependence effects across emerging market foreign exchange rates. Therefore, they can promote the stability of emerging market currencies.http://www.sciencedirect.com/science/article/pii/S2214845021000235C33F31O24E61 |
| spellingShingle | Mohd Ziaur Rehman Aviral Kumar Tiwari Durga Prasad Samontaray Directional predictability in foreign exchange rates of emerging markets: New evidence using a cross-quantilogram approach Borsa Istanbul Review C33 F31 O24 E61 |
| title | Directional predictability in foreign exchange rates of emerging markets: New evidence using a cross-quantilogram approach |
| title_full | Directional predictability in foreign exchange rates of emerging markets: New evidence using a cross-quantilogram approach |
| title_fullStr | Directional predictability in foreign exchange rates of emerging markets: New evidence using a cross-quantilogram approach |
| title_full_unstemmed | Directional predictability in foreign exchange rates of emerging markets: New evidence using a cross-quantilogram approach |
| title_short | Directional predictability in foreign exchange rates of emerging markets: New evidence using a cross-quantilogram approach |
| title_sort | directional predictability in foreign exchange rates of emerging markets new evidence using a cross quantilogram approach |
| topic | C33 F31 O24 E61 |
| url | http://www.sciencedirect.com/science/article/pii/S2214845021000235 |
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