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Time-varying volatility spillovers between real exchange rate and real commodity prices for emerging market economies

dc.contributor.authorYıldırım, Durmuş Çağrı
dc.contributor.authorErdoğan, Fatma
dc.contributor.authorTarı, Elif Nur
dc.date.accessioned2022-05-11T14:04:48Z
dc.date.available2022-05-11T14:04:48Z
dc.date.issued2022
dc.identifier.issn0301-4207
dc.identifier.urihttps://doi.org/10.1016/j.resourpol.2022.102586
dc.identifier.urihttps://hdl.handle.net/20.500.11776/4780
dc.description.abstractThis 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 Ltden_US
dc.language.isoengen_US
dc.publisherElsevier Ltden_US
dc.identifier.doi10.1016/j.resourpol.2022.102586
dc.rightsinfo:eu-repo/semantics/closedAccessen_US
dc.subjectEmerging market economiesen_US
dc.subjectReal commodity pricesen_US
dc.subjectReal exchange rateen_US
dc.subjectTime-varying volatility spilloveren_US
dc.subjectCommerceen_US
dc.subjectCostsen_US
dc.subjectCrude oilen_US
dc.subjectFinancial marketsen_US
dc.subjectEmerging market economyen_US
dc.subjectEmerging marketsen_US
dc.subjectExchange ratesen_US
dc.subjectIndonesiaen_US
dc.subjectMarket economiesen_US
dc.subjectReal commodity pricesen_US
dc.subjectReal exchange rateen_US
dc.subjectTime varyingen_US
dc.subjectTime-varying volatility spilloveren_US
dc.subjectVolatility spilloversen_US
dc.subjectPrecious metalsen_US
dc.titleTime-varying volatility spillovers between real exchange rate and real commodity prices for emerging market economiesen_US
dc.typearticleen_US
dc.relation.ispartofResources Policyen_US
dc.departmentFakülteler, İktisadi ve İdari Bilimler Fakültesi, İktisat Bölümüen_US
dc.identifier.volume76en_US
dc.institutionauthorYıldırım, Durmuş Çağrı
dc.institutionauthorErdoğan, Fatma
dc.institutionauthorTarı, Elif Nur
dc.relation.publicationcategoryMakale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanıen_US
dc.authorscopusid56127310200
dc.authorscopusid57222605910
dc.authorscopusid57450745200
dc.identifier.wosWOS:000767517400008en_US
dc.identifier.scopus2-s2.0-85124520078en_US


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