IDEAS home Printed from https://ideas.repec.org/a/taf/wjabxx/v21y2020i1p78-104.html
   My bibliography  Save this article

A Comparative Analysis of Currency Volatility among BRICS Countries

Author

Listed:
  • Mulatu Zerihun
  • Marthinus Breitenbach
  • Bernard Njindan Iyke

Abstract

In recent years, exchange rates of the BRICS countries have all experienced periods of high volatility. Thus far, no study has simultaneously compared the volatility of the BRICS currencies and analyzed the dependence and causal structure of relative volatility of these peer currencies. We addressed this issue by using monthly data from January 1995 to January 2017. We find that:(i) Brazil, India and China are more competitive than South Africa, on average, while South Africa, in turn, is only more competitive than Russia;(ii) the rand has been more volatile than the Brazilian real and the Russian ruble, but less volatile than the Chinese renminbi and the Indian rupee; (iii) there are inter-currency volatility correlations among the real, renminbi, ruble, and rand;(iv) the renminbi return volatility causes return volatility in the real, ruble, and rand.

Suggested Citation

  • Mulatu Zerihun & Marthinus Breitenbach & Bernard Njindan Iyke, 2020. "A Comparative Analysis of Currency Volatility among BRICS Countries," Journal of African Business, Taylor & Francis Journals, vol. 21(1), pages 78-104, January.
    • Handle: RePEc:taf:wjabxx:v:21:y:2020:i:1:p:78-104
    DOI: 10.1080/15228916.2019.1587805
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/15228916.2019.1587805
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/15228916.2019.1587805?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Iyke, Bernard Njindan & Ho, Sin-Yu, 2021. "Exchange rate exposure in the South African stock market before and during the COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 43(C).
    2. Astrid Ayala & Szabolcs Blazsek & Adrian Licht, 2022. "Score-driven stochastic seasonality of the Russian rouble: an application case study for the period of 1999 to 2020," Empirical Economics, Springer, vol. 62(5), pages 2179-2203, May.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:wjabxx:v:21:y:2020:i:1:p:78-104. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/wjab20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.