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Spillover effects of RMB exchange rate among RCEP member countries: Empirical evidence from time-frequency domain approach
This study employs time-frequency domain approach to investigate the spillover effects of renminbi (RMB) exchange rate among the Regional Comprehensive Economic Partnership (RCEP) member countries. Utilizing daily data spanning from August 2010 to August 2022, we find that currencies in the RCEP reg...
Autores principales: | , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2023
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10289438/ https://www.ncbi.nlm.nih.gov/pubmed/37352244 http://dx.doi.org/10.1371/journal.pone.0287566 |
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author | Guo, Jingbo Wang, Zhiyong |
author_facet | Guo, Jingbo Wang, Zhiyong |
author_sort | Guo, Jingbo |
collection | PubMed |
description | This study employs time-frequency domain approach to investigate the spillover effects of renminbi (RMB) exchange rate among the Regional Comprehensive Economic Partnership (RCEP) member countries. Utilizing daily data spanning from August 2010 to August 2022, we find that currencies in the RCEP region demonstrate significant interaction, which is primarily driven by short-term spillover, and ascend in response to major economic and political events. With respect to the influence of RMB, it displays frequency bands heterogeneity. Specifically, RMB tends to be a net receiver in the short term, but it primarily functions as a net transmitter in the long term. Notably, our analysis of time-varying spillover effects indicates that both domestic exchange rate regime reforms and external political and economic shocks amplify the net spillover effects of the RMB, which may be reflected in short-term connectedness or captured by long-term connectedness. |
format | Online Article Text |
id | pubmed-10289438 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2023 |
publisher | Public Library of Science |
record_format | MEDLINE/PubMed |
spelling | pubmed-102894382023-06-24 Spillover effects of RMB exchange rate among RCEP member countries: Empirical evidence from time-frequency domain approach Guo, Jingbo Wang, Zhiyong PLoS One Research Article This study employs time-frequency domain approach to investigate the spillover effects of renminbi (RMB) exchange rate among the Regional Comprehensive Economic Partnership (RCEP) member countries. Utilizing daily data spanning from August 2010 to August 2022, we find that currencies in the RCEP region demonstrate significant interaction, which is primarily driven by short-term spillover, and ascend in response to major economic and political events. With respect to the influence of RMB, it displays frequency bands heterogeneity. Specifically, RMB tends to be a net receiver in the short term, but it primarily functions as a net transmitter in the long term. Notably, our analysis of time-varying spillover effects indicates that both domestic exchange rate regime reforms and external political and economic shocks amplify the net spillover effects of the RMB, which may be reflected in short-term connectedness or captured by long-term connectedness. Public Library of Science 2023-06-23 /pmc/articles/PMC10289438/ /pubmed/37352244 http://dx.doi.org/10.1371/journal.pone.0287566 Text en © 2023 Guo, Wang https://creativecommons.org/licenses/by/4.0/This is an open access article distributed under the terms of the Creative Commons Attribution License (https://creativecommons.org/licenses/by/4.0/) , which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. |
spellingShingle | Research Article Guo, Jingbo Wang, Zhiyong Spillover effects of RMB exchange rate among RCEP member countries: Empirical evidence from time-frequency domain approach |
title | Spillover effects of RMB exchange rate among RCEP member countries: Empirical evidence from time-frequency domain approach |
title_full | Spillover effects of RMB exchange rate among RCEP member countries: Empirical evidence from time-frequency domain approach |
title_fullStr | Spillover effects of RMB exchange rate among RCEP member countries: Empirical evidence from time-frequency domain approach |
title_full_unstemmed | Spillover effects of RMB exchange rate among RCEP member countries: Empirical evidence from time-frequency domain approach |
title_short | Spillover effects of RMB exchange rate among RCEP member countries: Empirical evidence from time-frequency domain approach |
title_sort | spillover effects of rmb exchange rate among rcep member countries: empirical evidence from time-frequency domain approach |
topic | Research Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10289438/ https://www.ncbi.nlm.nih.gov/pubmed/37352244 http://dx.doi.org/10.1371/journal.pone.0287566 |
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