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

References

• Abbassi, W., Kumari, V., & Pandey, D. K. (2022). What makes firms vulnerable to the Russia-Ukraine crisis? The Journal of Risk Finance. Advance online publication. https://www.emerald.com/insight/content/doi/10.1108JRF-05-2022-0108/full/html
   Google Scholar
• Ando, T., Greenwood-Nimmo, M., & Shin, Y. (2022). Quantile connectedness: Modelling tail behaviour in the topology of financial networks. Management Science, 68, 2401–2431. Advance online publication. https://doi.org/10.1287/mnsc.2021.3984
   Web of Science ®Google Scholar
• Ang, A., & Bekaert, G. (2002). International asset allocation with regime shifts. Review of Financial Studies, 15(4), 1137–1187. https://doi.org/10.1093/rfs/15.4.1137
   Web of Science ®Google Scholar
• Balcilar, M., Bonato, M., Demirer, R., & Gupta, R. (2018). Geopolitical risks and stock market dynamics of the BRICS. Economic Systems, 42(2), 295–306. https://doi.org/10.1016/j.ecosys.2017.05.008
   Web of Science ®Google Scholar
• Balcilar, M., Gupta, R., Pierdzioch, C., & Wohar, M. E. (2017). Do terror attacks affect the dollar-pound exchange rate? A nonparametric causality-in-quantiles analysis. The North American Journal of Economics and Finance, 41, 44–56. https://doi.org/10.1016/j.najef.2017.03.010
   Web of Science ®Google Scholar
• Bekiros, S., & Marcellino, M. (2013). The multiscale causal dynamics of foreign exchange markets. Journal of International Money and Finance, 33, 282–305. https://doi.org/10.1016/j.jimonfin.2012.11.016
   Web of Science ®Google Scholar
• Boubaker, S., Goodell, J. W., Pandey, D. K., & Kumari, V. (2022). Heterogeneous impacts of wars on global equity markets: Evidence from the invasion of Ukraine. Finance Research Letters, 48, 102934. https://doi.org/10.1016/j.frl.2022.102934
   Web of Science ®Google Scholar
• Boungou, W., & Yati´e, A. (2022). The impact of the Ukraine–Russia war on world stock market returns. Economics Letters, 215, 110516. https://doi.org/10.1016/j.econlet.2022.110516
   Web of Science ®Google Scholar
• Bouri, E., Lucey, B., Saeed, T., & Vo, X. V. (2020). Extreme spillovers across Asian-Pacific currencies: A quantile-based analysis. International Review of Financial Analysis, 72, 101605. https://doi.org/10.1016/j.irfa.2020.101605
   Web of Science ®Google Scholar
• Bouri, E., Saeed, T., Vo, X. V., & Roubaud, D. (2021). Quantile connectedness in the cryptocurrency market. Journal of International Financial Markets, Institutions and Money, 71, 101302. https://doi.org/10.1016/j.intfin.2021.101302
   Web of Science ®Google Scholar
• Caldara, D., & Iacoviello, M. (2016). Measuring geopolitical risk. Working Paper, Board of Governors of the Federal Reserve Board.
   Google Scholar
• Caldara, D., & Iacoviello, M. (2019). Measuring geopolitical risk. International Finance Discussion Papers (IFDP), Board of Governors of the Federal Reserve Board. https://doi.org/10.17016/IFDP.2018.1222r1
   Google Scholar
• Cheng, C. H., & Chiu, C. W. (2018). How important are global geopolitical risks to emerging countries? Inter Economics, 156, 305–325. https://doi.org/10.1016/j.inteco.2018.05.002
   Google Scholar
• Das, S., & Roy, S. S. (2023). Following the leaders? A study of comovement and volatility spillover in BRICS currencies. Economic Systems, 47(2), 100980. https://doi.org/10.1016/j.ecosys.2022.100980
   Web of Science ®Google Scholar
• Diebold, F. X., & Yilmaz, K. (2012). Better to give than to receive: Predictive directional measurement of volatility spillovers. International Journal of Forecasting, 28(1), 57–66. https://doi.org/10.1016/j.ijforecast.2011.02.006
   Web of Science ®Google Scholar
• Diebold, F. X., & Yılmaz, K. (2014). On the network topology of variance decompositions: Measuring the connectedness of financial firms. Journal of Econometrics, 182(1), 119–134. https://doi.org/10.1016/j.jeconom.2014.04.012
   Web of Science ®Google Scholar
• Erdemlioglu, D., Laurent, S., & Neely, C. J. (2012). Econometric modelling of exchange rate volatility and jumps. (Working Paper 2012–008A). Federal Bank of St. Louis.
   Google Scholar
• Gupta, R., Gozgor, G., Kaya, H., & Demir, E. (2019). Effects of geopolitical risks on trade flows: Evidence from the gravity model. Eurasian Economic Review, 9, 515–530. https://doi.org/10.1007/s40822-018-0118-0
   Web of Science ®Google Scholar
• IMF. October (2019). World Economic Outlook Database. International Monetary Fund. https://www.imf.org/en/Publications/WEO/weo-database/2019/October/download-entire-database
   Google Scholar
• Koenker, R., & Bassett, G., Jr. (1978). Regression quantiles. Econometrica, 46, 33–50. https://doi.org/10.2307/1913643
   Web of Science ®Google Scholar
• Londono, J. M. (2019). Bad bad contagion. Journal of Banking & Finance, 108, 105652. https://doi.org/10.1016/j.jbankfin.2019.105652
   Web of Science ®Google Scholar
• Meng, X., & Huang, C. H. (2019). The time-frequency comovement of Asian effective exchange rates: A wavelet approach with daily data. The North American Journal of Economics and Finance, 48, 131–148. https://doi.org/10.1016/j.najef.2019.01.009
   Web of Science ®Google Scholar
• Mensi, W., Al-Yahyaee, K. H., Vo, X. V., & Kang, S. H. (2021). Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications. Economic Analysis and Policy, 71, 397–419. https://doi.org/10.1016/j.eap.2021.06.001
   Web of Science ®Google Scholar
• Mensi, W., Hammoudeh, S., Reboredo, J., & Nguyen, D. K. (2014). Do global factors impact BRICS stock markets? A quantile regression approach. Emerging Markets Review, 19(C), 1–17. https://doi.org/10.1016/j.ememar.2014.04.002
   Web of Science ®Google Scholar
• Narayan, P. K., Narayan, S., & Prasad, A. (2009). Modelling Fiji–U.S. exchange rate volatility. Applied Economics Letters, 16(8), 831–834. https://doi.org/10.1080/13504850701222004
   Web of Science ®Google Scholar
• Niyitegeka, O., & Tewari, D. D. (2020). Volatility spillovers between the European and South African foreign exchange markets. Cogent Economics & Finance, 8(1), 1741308. https://doi.org/10.1080/23322039.2020.1741308
   Web of Science ®Google Scholar
• Pandey, D. K., & Kumar, R. (2023). Russia-Ukraine war and the global tourism sector: A 13-day tale. Current Issues in Tourism, 26(5), 692–700. https://doi.org/10.1080/13683500.2022.2081789
   Web of Science ®Google Scholar
• Pandey, P., & Sehgal, S. (2018). Dynamic currency linkages and its determinants: An empirical study for East Asian economic community region. Emerging Markets Finance & Trade, 54(7), 1538–1556. https://doi.org/10.1080/1540496X.2017.1380621
   Web of Science ®Google Scholar
• Salisu, A. A., Cuñado, J., & Gupta, R. (2022). Geopolitical risks and historical exchange rate volatility of the BRICS. International Review of Economics & Finance, 77, 179–190. https://doi.org/10.1016/j.iref.2021.09.017
   Web of Science ®Google Scholar
• Umar, Z., Polat, O., Choi, S.-Y., & Teplova, T. (2022). The impact of the Russia-Ukraine conflict on the connectedness of financial markets. Finance Research Letters, 48, 102976. Advance online publication. https://doi.org/10.1016/j.frl.2022.102976
   Web of Science ®Google Scholar
• Zaremba, A., Cakici, N., Demir, E., & Long, H. (2022). When bad news is good news: Geopolitical risk and the cross-section of emerging market stock returns. Journal of Financial Stability, 58, 100964. https://doi.org/10.1016/j.jfs.2021.100964
   Web of Science ®Google Scholar