Time-varying volatility spillovers between real exchange rate and real commodity prices for emerging market economies
Yükleniyor...
Dosyalar
Tarih
2022
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier Ltd
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
This study aims to investigate real effective exchange rates and real commodity prices volatility transmission among Mexico, Indonesia and Turkey. According to the results, there is a bidirectional causality relationship between precious metals and the real exchange rate. However, this relationship varies over time. Especially in times of crisis such as the Covid-19 pandemic, the transfer of volatility disappears. Precious metals have a safe haven feature against the exchange rate. On the other hand, the reverse is not true. During the Covid period, the bilateral risk transfer between crude oil and exchange rate disappears. The crude oil and exchange rate have safe haven feature during the Covid-19 period. Only for Indonesia, there is risk transfer from oil to exchange rates. © 2022 Elsevier Ltd
Açıklama
Anahtar Kelimeler
Emerging market economies, Real commodity prices, Real exchange rate, Time-varying volatility spillover, Commerce, Costs, Crude oil, Financial markets, Emerging market economy, Emerging markets, Exchange rates, Indonesia, Market economies, Real commodity prices, Real exchange rate, Time varying, Time-varying volatility spillover, Volatility spillovers, Precious metals
Kaynak
Resources Policy
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
76
