Özet:

Abstract This paper investigates the leverage effect of local realised exchange rate volatility and implied volatilities in energy market on exchange rate returns in BRICS for the period May 7, 2012 to March 31, 2022, using the quantile regression technique. This paper reveals that oil implied volatility shocks (OVX changes) have a significant negative impact on Russian-U.S. Dollar exchange rate returns in all quantiles. When it comes to the Indian rupee and Chinese RMB returns/Dollar, the adverse effects of OVX are most apparent in both normal and booming market conditions. Although South Africa's currency rate returns are affected by both slump- and bust-market situations, Brazil also tends to be in higher quantiles. The implied volatility indices in the energy market have a substantial and considerable negative impact on the BRICS currencies, with the exception of China, where the effect is only noticeable in the upper extreme quantiles. The policy implications and suggestions are discussed. Downloads Download data is not yet available. Downloads FULL TEXT Published 2023-03-24 How to Cite Qabhobho, T. (2023). Assessing the Asymmetric Effect of Local Realized Exchange Rate Volatility and Implied Volatilities in Energy Market on Exchange Rate Returns in BRICS. International Journal of Energy Economics and Policy, 13(2), 231–239. https://doi.org/10.32479/ijeep.13685 More Citation Formats ACM ACS APA ABNT Chicago Harvard IEEE MLA Turabian Vancouver Download Citation Endnote/Zotero/Mendeley (RIS) BibTeX Issue Vol. 13 No. 2 (2023) Section Articles License Submission of an article implies that the work described has not been published previously , that it is not under consideration for publication elsewhere, that its publication is approved by all authors and tacitly or explicitly by the responsible authorities where the work was carried out, and that, if accepted, will not be published elsewhere in the same form, without the written consent of the Publisher. The Editors reserve the right to edit or otherwise alter all contributions, but authors will receive proofs for approval before publication. Most read articles by the same author(s) Thobekile Qabhobho, Emmanuel Asafo-Adjei, Peterson Owusu Junior, Anokye M. Adam, Quantifying information transfer between Commodities and Implied Volatilities in the Energy Markets: A Multi-frequency Approach , International Journal of Energy Economics and Policy: Vol. 12 No. 5 (2022) 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: Vol. 13 No. 2 (2023) Make a Submission Make a Submission Dergi Kapağı

Anahtar Kelimeler: