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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...

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Detalles Bibliográficos
Autores principales: Guo, Jingbo, Wang, Zhiyong
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2023
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.
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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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