Exploring currency interdependence in West Africa: a time-varying parameter vector autoregression analysis
The Journal of Risk Finance,
Год журнала:
2025,
Номер
unknown
Опубликована: Янв. 29, 2025
Purpose
Considering
the
impact
of
significant
economic
and
political
events,
this
study
investigates
return
spillovers
connectedness
among
eight
West
African
currencies
from
March
31,
2010,
to
28,
2024.
It
aims
enhance
understanding
interdependencies
within
foreign
exchange
market,
providing
insights
into
region’s
risk
management
diversification
opportunities.
Design/methodology/approach
Using
time-varying
parameter
vector
autoregression
(TVP-VAR)
method,
analyzes
daily
rate
returns
capture
dynamic
spillover
effects
selected
currencies.
This
approach
identifies
key
transmitters
receivers
shocks,
reflecting
evolving
interactions
over
time.
Findings
The
results
show
that
Sierra
Leonean
Leone,
Cape
Verdean
Escudo,
CFA
Franc
are
net
shocks.
At
same
time,
Ghana
Cedi,
Nigerian
Naira,
Gambian
Dalasi,
Guinean
Franc,
Liberian
Dollar
receivers,
with
Dalasi
being
most
affected.
These
findings
suggest
relatively
low
regional
connectedness,
offering
favorable
Originality/value
provides
a
comprehensive
analysis
interconnectedness
currencies,
contributing
limited
literature
on
region.
have
practical
implications
for
investors
policymakers
in
managing
risks
designing
interventions
stabilize
market.
Язык: Английский
Macroeconomic Imbalances and Financial Stress Among BRICS: Analysis of Frequency-Dependent and Asymmetric Causal Nexuses
Studies in Nonlinear Dynamics and Econometrics,
Год журнала:
2025,
Номер
unknown
Опубликована: Апрель 16, 2025
Abstract
This
study
investigates
the
intricate
and
evolving
causal
relationship
between
macroeconomic
imbalances
financial
stress
in
BRICS
nations.
To
analyse
these
dynamics
across
different
time
scales,
thus
enabling
timely
policy
intervention,
we
employ
an
asymmetric,
noise-reducing-domain
ICEEMDAN-based
non-parametric
model
supplemented
by
a
time-varying
vector
autoregressive
spanning
from
1998
to
2021.
Our
findings
reveal
that
imbalance
exhibit
both
frequency-dependent
asymmetric
linkages,
shedding
light
on
mechanisms
underlying
contagion
market
instability
Specifically
deteriorating
conditions
are
linked
heightened
instability,
whereas
periods
of
low
correspond
improved
condition.
The
results
underscore
need
strengthen
frameworks
with
inflation
serving
as
critical
nominal
anchor
focal
point
overarching
guidelines.
Proactive
monitoring
responses
accumulation
essential.
recommends
policymakers
should
implement
fiscal
monetary
measures
prioritize
sustainable
economic
growth
while
reducing
reliance
debt
maintaining
current
account
balance
mitigate
vulnerabilities.
Язык: Английский