1. Exchange Rate Return and Volatility Spillover across Major Trading Partners of India.
- Author
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Mishra, Bibhuti Ranjan, Pradhan, Ashis Kumar, Tiwari, Aviral Kumar, Dash, Aruna Kumar, and Aruna, Mothkuri
- Subjects
- *
FOREIGN exchange rates , *RATE of return , *INDIAN rupee , *FOREIGN exchange market - Abstract
We examine the connectedness among the series of four exchange rates with respect to the Indian Rupee. The results of Diebold and Yilmaz method which measures time-domain connectedness, show that the overall connectedness of the system is 30.15%. The results of Baruník and Křehlík approach which measures frequency-domain connectedness, exhibit that in the total connectedness the maximum contribution is from highest frequency (14.27%) and the lowest contribution is made by the second-lowest frequency (2.03%). Finally, the dynamic connectedness is also examined with rolling window methods. These results are very critical in understanding the connectedness among various exchange rate markets. [ABSTRACT FROM AUTHOR]
- Published
- 2020
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