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Does the regional proximity lead to exchange rate spillover?

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  • Anwer, Zaheer
  • Khan, Ashraf
  • Kabir Hassan, M.
  • Rashid, Mamunur

Abstract

To understand whether regional proximity leads to exchange rate connectedness, we explore dynamic co-movement of currencies from two important regions namely the South Asian Association for Regional Cooperation and Association of Southeast Asian Nations by using Continuous Wavelet Transformation approach. Our results reveal very little co-movement between member currencies of both regions and imply that regional proximity does not necessarily translate into exchange rate connectedness. The results remain robust to alternate specifications. Our findings carry important implications for academia and policymakers.

Suggested Citation

  • Anwer, Zaheer & Khan, Ashraf & Kabir Hassan, M. & Rashid, Mamunur, 2022. "Does the regional proximity lead to exchange rate spillover?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).
    • Handle: RePEc:eee:intfin:v:81:y:2022:i:c:s1042443122001482
    DOI: 10.1016/j.intfin.2022.101676
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