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

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.

KEYWORDS:

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

JEL CLASSIFICATIONS:

• C32
• E44
• F31
• F41
• G15

Disclosure statement

No potential conflict of interest was reported by the authors.

Notes

1 The International Monetary Fund (IMF, October 2019) report shows that four out of the BRICS countries are among the top ten countries in the world based on the purchasing power parity adjusted in terms of the nominal Gross Domestic Product (GDP).

2 Available on request from the authors.