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 Görüntüleme 54
 İndirme 3
Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities
2023
Dergi:  
International Journal of Energy Economics and Policy
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Özet:

Abstract 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. Downloads Download data is not yet available. Downloads FULL TEXT Published 2023-03-24 How to Cite Qabhobho, T., Adam, A. M., Idun, A. A.-A., Asafo-Adjei, E., & Boateng, E. (2023). Exploring the Time-varying Connectedness and Contagion Effects among Exchange Rates of BRICS, Energy Commodities, and Volatilities. International Journal of Energy Economics and Policy, 13(2), 272–283. https://doi.org/10.32479/ijeep.13846 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, 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: Vol. 13 No. 2 (2023) Make a Submission Make a Submission Dergi Kapağı

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International Journal of Energy Economics and Policy

Alan :   Sosyal, Beşeri ve İdari Bilimler

Dergi Türü :   Uluslararası

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Makale : 2.578
Atıf : 3.974
2023 Impact/Etki : 0.22
International Journal of Energy Economics and Policy