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Frequency domain cross-quantile coherency and connectedness network of exchange rates: Evidence from ASEAN+3 countries

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  • Zhu, Huiming
  • Zeng, Tian
  • Wang, Xinghui
  • Xia, Xiling

Abstract

This study examines the frequency domain connectedness and synchronization between the exchange rates of Association of Southeast Asian Nations (ASEAN) member countries and those of China, Japan, and South Korea across quantile levels. We propose a quantile cross-spectrum of exchange rates to establish the coherency of connectedness and synchronization measurements. Our empirical results are as follows: First, the return connectedness between the exchange rates is heterogeneous, being stronger in the long run than in the short run and more pronounced under normal market conditions than under extreme market conditions. Second, the dynamic return connectedness among the exchange rates follows a similar trend in the monthly and yearly cycles. Third, exchange rate returns and volatility exhibit long-term synchronization. However, short-term heterogeneity persists across market conditions and investment horizons. Overall, these findings offer valuable insights for monetary authorities in their efforts to maintain exchange rate stability and for investors in making informed portfolio decisions.

Suggested Citation

  • Zhu, Huiming & Zeng, Tian & Wang, Xinghui & Xia, Xiling, 2025. "Frequency domain cross-quantile coherency and connectedness network of exchange rates: Evidence from ASEAN+3 countries," The North American Journal of Economics and Finance, Elsevier, vol. 75(PA).
    • Handle: RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001840
    DOI: 10.1016/j.najef.2024.102259
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    More about this item

    Keywords

    Frequency domain connectedness; Cross-quantile coherency; Exchange rates; Cross-quantile network; ASEAN+3 countries;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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