Quantile dependencies across BRICS currency markets in time of crisis: Analysis of the Russia–Ukraine war

Oluwatomisin J. Oyewole, Ismail O. Fasanya, Mamdouh Abdulaziz Saleh Al-Faryan

Research output: Contribution to journalArticlepeer-review

Abstract

This paper examines the spillovers across BRICS currency markets during the Russia–Ukraine war. We observe that the connectedness across the BRICS currency markets is stronger during than before the war and the average-based connectedness framework shows a moderate level of connectedness across the BRICS currencies. However, using a quantile approach, the level of connectedness across the currencies is much higher at both tails of the conditional distribution. Overall, the result shows that war in Ukraine affect the connectedness among the BRICS currency markets and are stronger during extreme positive and negative events such as the war, indicating that the application of the average-based framework of connectedness to BRICS currencies is inadequate and restrictive.
Original languageEnglish
Pages (from-to)281-296
Number of pages16
JournalInvestment Analysts Journal
Volume52
Issue number4
Early online date12 Sept 2023
DOIs
Publication statusPublished - 2 Oct 2023

Keywords

  • BRICS
  • Ukraine war
  • exchange rates
  • extreme spillovers
  • quantiles

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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