Dynamic currency linkages between select emerging market economies: An empirical study

Figures & data

Table 1. Descriptive statistics for sample currency markets

Currency	SWIFT Currency Codes (short names)	Mean	Std. Dev.	Skewness	Kurtosis	Jarque-Bera	Prob.	ARCH LM Obs*R-squared	Prob. Chi-Square(1)	LB Qstat (12Lag)	Prob.	Obsv.
Argentine peso	ARS	−0.001581	0.011326	−12.07198	228.7787	1,954,944*	0.0000	0.076379	0.7823	117.98*	0.0000	910
Bulgarian lev	BGN	0.000104	0.005786	0.280126	6.960231	606.5649*	0.0000	6.022562*	0.0141	12.597	0.3990	910
Chilean peso	CLP	−0.000057	0.006249	−0.326647	5.197513	199.2847*	0.0000	24.24575*	0.0000	20.569**	0.0570	910
Colombian peso	COP	−0.000133	0.007199	−0.270166	5.656447	278.6371*	0.0000	19.08049*	0.0000	21.074*	0.0490	910
Hungarian forint	HUF	0.00000257	0.008685	−0.276013	5.436147	236.5828*	0.0000	45.67461*	0.0000	17.698	0.1250	910
Indonesian rupiah	IDR	−0.000191	0.00577	0.733059	18.99911	9787.093*	0.0000	22.44803*	0.0000	69.424*	0.0000	910
Mexico peso	MXN	−0.000352	0.006532	−0.726882	9.329207	1599.033*	0.0000	55.74608*	0.0000	10.624	0.5610	910
Pakistani rupee	PKR	−0.000354	0.00261	0.250474	28.20859	24,104.53*	0.0000	7.395879*	0.0065	41.576*	0.0000	910
Peruvian sol	PEN	0.0000345	0.002806	0.188365	13.54979	4225.436*	0.0000	7.678115*	0.0056	42.776*	0.0000	910
Philippine peso	PHP	−0.0000258	0.003943	2.537246	42.83817	61,153.15*	0.0000	46.1735*	0.0000	31.468*	0.0020	910
Polish zloty	PLN	0.0000428	0.00852	−0.743269	6.836299	641.8148*	0.0000	36.05189*	0.0000	35.203*	0.0000	910
Romanian leu	RON	−0.00021	0.006592	−0.215647	6.97103	604.9641*	0.0000	16.08033*	0.0001	16.299	0.1780	910
Thai bhat	THB	0.000129	0.006786	0.44922	33.19302	34,596.14*	0.0000	378.3825*	0.0000	425.41*	0.0000	910
Turkish lira	TRY	−0.000924	0.010243	−3.653489	42.02085	59,757.37*	0.0000	1.285484	0.2569	40.647*	0.0000	910
Ukrainian hryvnia	UAH	−0.000752	0.011903	−3.671081	90.16062	290,095.9*	0.0000	6.628161**	0.0100	50.257*	0.0000	910
Brazilian real	BRL	−0.000331	0.010292	−1.021365	12.09158	3292.286*	0.0000	55.71408*	0.0000	29.678*	0.0030	910
Russian ruble	RUB	−0.000379	0.007329	−0.803851	13.83693	4550.9*	0.0000	160.6372*	0.0000	72.509*	0.0000	910
Indian rupee	INR	−0.000184	0.004126	−0.316889	10.64281	2230.042*	0.0000	74.26352*	0.0000	11.822	0.4600	910
South African rand	ZAR	−0.000288	0.010747	−0.473696	8.70038	1266.109*	0.0000	50.06414*	0.0000	31.807*	0.0010	910

Notes:

(i) JB denotes Jarque–Bera test and has a null hypothesis of normal distribution.

(ii) LB denotes Ljung–Box Q-statistic that is reported at 12th lag.

(iii) ARCH LM denotes ARCH Lagrange multiplier test of conditional heteroscedasticity.

(iv) Obsv. denotes the number of observations in the return series.

(v) */** indicates significance at 0.05/0.10 level.

Table 2. Test of stationarity of sample currency return series

Country	ADF (level)	PP (level)
ARS	−5.325754	−33.39937
BGN	−29.44305	−29.45693
CLP	−28.10678	−28.25195
COP	−29.45027	−29.59609
HUF	−30.16588	−30.17120
IDR	−12.72441	−26.94868
MXN	−30.49768	−30.49561
PKR	−28.39668	−28.89974
PEN	−29.10087	−29.16122
PHP	−34.23491	−34.04028
PLN	−31.76423	−31.72152
RON	−29.36371	−29.40299
THB	−29.23077	−54.90243
TRY	−30.27718	−30.58240
UAH	−32.14564	−32.33205
BRL	−33.39604	−33.24771
RUB	−9.610925	−31.68509
INR	−27.60901	−27.61248
ZAR	−30.65853	−30.68955

Notes:

(i) The value reported is the t-statistic value of ADF and PP unit root tests.

(ii) * Level of significance at 5% whose critical values at 95% confidence level are −3.41.

Table 3. ADCC results for sample currency markets

	Row/Column No.	ARS	BGN	CLP	COP	HUF	IDR	MXN	PKR	PEN	PHP	PLN	RON	THB	TRY	UAH	BRL	RUB	INR	ZAR
Currency/country		1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16	17	18	19
ARS	1		0.028	0.103	0.114	0.026	0.054	0.135	0.022	0.159	0.026	0.034	0.007	0.028	0.085	0.045	0.151	0.057	0.091	0.072
BGN	2	0		0.225	0.241	0.788	0.22	0.184	0.073	0.161	0.245	0.729	0.729	0.323	0.318	0.096	0.297	0.333	0.299	0.37
CLP	3	0.1	0.225		0.411	0.302	0.26	0.432	0.013	0.306	0.241	0.364	0.231	0.254	0.353	0.052	0.453	0.341	0.294	0.377
COP	4	0.1	0.241	0.411		0.284	0.291	0.404	0.086	0.359	0.296	0.337	0.27	0.193	0.339	0.073	0.427	0.364	0.274	0.299
HUF	5	0	0.788	0.302	0.284		0.267	0.357	0.056	0.226	0.245	0.807	0.664	0.294	0.442	0.062	0.382	0.426	0.322	0.484
IDR	6	0.1	0.22	0.26	0.291	0.267		0.275	0.085	0.214	0.389	0.263	0.237	0.354	0.297	0.05	0.331	0.239	0.386	0.276
MXN	7	0.1	0.184	0.432	0.404	0.357	0.275		0.069	0.325	0.296	0.396	0.27	0.184	0.432	0.095	0.482	0.429	0.292	0.416
PKR	8	0	0.073	0.013	0.086	0.056	0.085	0.069		0.032	0.079	0.055	0.03	0.039	0.02	0.023	0.103	0.008	0.071	−0.001
PEN	9	0.2	0.161	0.306	0.359	0.226	0.214	0.325	0.032		0.169	0.267	0.163	0.102	0.216	0.06	0.28	0.336	0.229	0.235
PHP	10	0	0.245	0.241	0.296	0.245	0.389	0.296	0.079	0.169		0.294	0.256	0.269	0.276	0.045	0.31	0.278	0.386	0.268
PLN	11	0	0.729	0.364	0.337	0.807	0.263	0.396	0.055	0.267	0.294		0.642	0.316	0.45	0.063	0.413	0.387	0.349	0.498
RON	12	0	0.729	0.231	0.27	0.664	0.237	0.27	0.03	0.163	0.256	0.642		0.295	0.374	0.095	0.322	0.383	0.292	0.387
THB	13	0	0.323	0.254	0.193	0.294	0.354	0.184	0.039	0.102	0.269	0.316	0.295		0.274	0.027	0.248	0.254	0.282	0.246
TRY	14	0.1	0.318	0.353	0.339	0.442	0.297	0.432	0.02	0.216	0.276	0.45	0.374	0.274		0.035	0.466	0.295	0.33	0.484
UAH	15	0	0.096	0.052	0.073	0.062	0.05	0.095	0.023	0.06	0.045	0.063	0.095	0.027	0.035		0.075	0.039	−0.002	0.03
BRL	16	0.2	0.297	0.453	0.427	0.382	0.331	0.482	0.103	0.28	0.31	0.413	0.322	0.248	0.466	0.075		0.316	0.349	0.417
RUB	17	0.1	0.333	0.341	0.364	0.426	0.239	0.429	0.008	0.336	0.278	0.387	0.383	0.254	0.295	0.039	0.316		0.301	0.369
INR	18	0.1	0.299	0.294	0.274	0.322	0.386	0.292	0.071	0.229	0.386	0.349	0.292	0.282	0.33	−0.002	0.349	0.301		0.341
ZAR	19	0.1	0.37	0.377	0.299	0.484	0.276	0.416	−0.001	0.235	0.268	0.498	0.387	0.246	0.484	0.03	0.417	0.369	0.341
Table 3 (Panel B): Average ADCC results and their comparisons
Average ADCC between country “i” and all other EMEs	20	0.1	0.314	0.278	0.281	0.357	0.25	0.304	0.048	0.213	0.243	0.37	0.314	0.221	0.305	0.054	0.324	0.286	0.272	0.309
Average ADCC between country “i” and BRIS	21	0.1	0.325	0.366	0.341	0.404	0.308	0.405	0.045	0.27	0.311	0.412	0.346	0.257	0.394	0.036	0.361	0.329	0.33	0.376	BRIS AVERAGE 0.349
Classification of economies*	22	Low	Low	High	Low	High	Low	High	Low	Low	Low	High	Low	Low	High	Low	High	Low	Low	High
Table 3 (Panel C): Average ADCC pre-during-post-crisis values and ratios
Pre-crisis ADCC average	23			0.325	0.273	0.354		0.327				0.349	0.313		0.304		0.281	0.31	0.283	0.287	0.29
During-crisis ADCC average	24			0.333	0.366	0.491		0.441				0.493	0.422		0.503		0.432	0.334	0.371	0.425	0.3903
Post-crisis ADCC average	25			0.408	0.39	0.423		0.458				0.443	0.355		0.44		0.409	0.343	0.359	0.436	0.3868
During/pre-crisis ADCC ratio	26			1.025	1.338	1.387		1.348				1.412	1.348		1.655		1.541	1.078	1.313	1.479	1.3462
Post/pre-crisis ADCC ratio	27			1.256	1.425	1.195		1.399				1.267	1.134		1.447		1.458	1.109	1.271	1.518	1.334

Notes: (i) In Panel A, the mean ADCC values between sample countries have been reported. These figures have been estimated taking the mean of time-varying ADCC values.

(ii)In Panel B, the average of ADCC values for a sample country “i” with other EME is reported. The average of ADCC for a country “i” with BRIS is also provided. This value is then compared with the average of ADCC values among BRIS counties. *Countries that have ADCC values higher than BRIS are reported as “high” else “low”.

(iii)In Panel C, the average ADCC values sub-divided into pre-, during- and post-crisis periods is shown. These are reported for each of BRIS currency markets, BRIS average and each of the markets classified as “high” above.

Figure 1. Time-varying ADCC graphs of select emerging economies with BRIS (currency markets).

Notes: (i) The graphs in the figure show time-varying conditional correlations of only for those EMEs that have average ADCC values higher than/close to BRICS with rest of the BRICS markets, computed from the ADCC model. (ii) Graphs (a) to (d) show average ADCC values over the sample period of each EME with BRIS (reported only for those EME currencies that have average ADCC values higher than/close to BRIS, namely, CLP, COP, HUF, MXN, PLN, RON and TRY). Graphs (f) to (l) show average ADCC values of each of BRIS with other BRIS markets over the sample period. Graph (e) shows the average BRIS ADCC values. (iii) The crisis period has also been highlighted, reflected by the shaded region in each graph.(iv): x-axis represents year, y-axis represents average ADCC values.

Table 4. Return and volatility spillovers for all sample currency markets

Country/Market		ARS	ARSV	BGN	BGNV	CLP	CLPV	COP	COPV	HUF	HUFV	IDR	IDRV	MXN	MXNV	PKR	PKRV
	Row/Column No.	1	2	3	4	5	6	7	8	9	10	11	12	13	14	15	16
ARS	1	73	0.78	0.97	0.43	1.19	0.18	0.54	0.42	0.64	0.15	0.66	0.44	0.76	0.3	0.93	0.12
ARSV	2	10.8	70.9	0.93	0.84	0.31	0.28	1.86	1	0.36	0.33	1.56	0.31	0.48	0.4	1.03	0.04
BGN	3	0.14	0.02	24.9	0.37	1.72	0.15	1.54	0.34	16.4	0.33	1	0.14	1.4	0.44	0.15	0.04
BGNV	4	0.16	0.02	4.17	21.4	1.99	1.51	2.13	0.11	5.12	8.72	0.51	0.05	2.91	1.14	0.71	0.1
CLP	5	0.31	0.17	2.82	0.26	33.5	0.39	5.69	0.68	3.93	0.44	1.66	0.16	6.64	0.65	0.28	0.42
CLPV	6	0.03	0.03	0.67	2.33	4.91	32.4	2.32	3.12	1.6	3.18	0.44	0.22	7.48	4.46	1.35	0.23
COP	7	0.38	0.23	2.18	0.24	5.63	0.47	32.4	0.58	3.88	0.27	3.16	0.29	5.8	0.48	0.56	0.6
COPV	8	0.05	0.18	0.12	0.72	2.67	1.54	11.5	44.3	0.49	0.36	1.03	0.12	3	1.41	0.44	0.09
HUF	9	0.1	0.02	14	0.35	2.19	0.16	2.36	0.34	21	0.35	1.21	0.04	3.73	0.9	0.17	0.06
HUFV	10	0.06	0.01	1.94	8.39	2.5	2.95	2.22	0.32	3.62	16.8	0.23	0.23	5.01	5.82	0.77	0.03
IDR	11	0.53	0.15	2.27	0.58	2.1	0.24	4.32	0.17	3.38	0.47	39.7	0.62	3.01	1.82	1.21	0.1
IDRV	12	0.06	0.25	1.18	0.9	3.43	2.81	3.97	0.69	2.79	1.34	3.27	26.6	5.83	5.27	0.18	0.07
MXN	13	0.23	0.22	1.82	0.59	5.58	0.72	5.12	0.44	5.21	0.63	1.56	0.17	28.2	1.33	0.3	0.05
MXNV	14	0.08	0.03	1.98	3.32	5.68	2.86	4.46	1.08	3.91	1.94	0.58	0.14	14.2	11.8	0.71	0.04
PKR	15	0.29	0.1	1.4	0.78	1.34	0.72	1.04	0.76	1.64	0.64	1.23	0.88	1.18	0.83	69	0.62
PKRV	16	0.2	0.05	0.22	0.27	1.04	0.19	1.06	0.06	0.14	0.21	0.33	0.17	0.2	0.27	2.71	86.6
PEN	17	0.34	0.23	1.11	0.37	3.55	0.59	5.68	1.43	3.05	0.34	1.8	0.16	6.16	0.97	0.47	0.3
PENV	18	0.13	0.07	1.14	0.14	0.77	3.42	2.43	2.58	3.18	0.86	0.39	0.03	0.4	1.67	1.28	0.09
PHP	19	0.2	0.09	3.69	0.26	2.58	0.18	4.3	0.65	4.7	0.35	4.61	0.43	4.21	0.75	0.41	0.02
PHPV	20	0.04	0.01	1.16	1.57	1.02	1.75	0.85	2.36	2.22	7.92	0.45	0.47	2.52	2.53	0.69	0.02
PLN	21	0.1	0.16	12	0.22	3.12	0.21	2.68	0.35	14.5	0.27	1.15	0.26	4.02	0.89	0.13	0.04
PLNV	22	0.02	0.05	4.23	6.03	3.49	1.59	3.06	0.18	6.45	7.04	0.41	0.05	5.65	4.05	1.13	0.03
RON	23	0.07	0.02	15.4	0.53	1.8	0.24	2.01	0.23	13.7	0.3	0.94	0.12	2.65	0.5	0.23	0.06
RONV	24	0.12	0.07	0.38	16.9	0.77	1.46	0.85	0.3	1.11	8.6	0.34	0.13	2.89	1.73	1.43	0.02
THB	25	0.24	0.13	2.32	0.34	1.48	0.59	2.27	0.38	1.93	0.41	1.84	0.22	0.79	0.48	0.19	0.07
THBV	26	0.03	0.02	0.32	0.12	0.1	0.09	0.09	0.1	0.47	0.22	0.15	0.04	0.14	0.16	0.04	0.02
TRY	27	0.31	0.1	2.97	0.23	3.4	0.2	3.53	0.35	5.47	0.14	2.69	0.41	6.1	2.24	0.33	0.13
TRYV	28	0.15	0.06	1.58	1.22	5.41	2.15	4.55	0.57	3.09	2.28	1.02	0.52	8.07	3.59	0.47	0.02
UAH	29	0.14	0.6	0.63	1.66	0.66	1.44	0.84	1.54	0.69	1.58	0.84	0.78	2.04	6.38	1.29	1.5
UAHV	30	0.23	0.33	0.48	0.8	0.25	0.93	0.68	1.39	0.25	1	0.5	0.44	0.63	1.21	0.27	0.08
BRL	31	0.38	0.11	2.62	0.45	6.6	0.3	5.24	0.51	4.28	0.41	2.38	0.31	7.93	1.28	0.41	0.2
BRLV	32	0.04	0.07	2.06	1.75	6.5	1.41	7.43	0.65	2.73	1.28	1.92	0.06	7.08	3.67	0.28	0.08
RUB	33	0.19	1.11	4.28	0.2	3.83	0.23	5.69	0.72	5.37	0.31	1.13	0.36	4.62	0.32	0.31	0.18
RUBV	34	0.32	0.63	0.35	0.03	0.27	1.04	3.5	1.45	0.66	0.22	0.22	0.1	1.3	0.6	0.03	0.1
INR	35	0.09	0.18	3.36	0.55	3.69	0.5	3.4	0.55	4.81	0.48	3.8	0.11	5.47	0.68	0.59	0.19
INRCB	36	0.57	0.1	2	0.17	2.41	1.35	1.85	0.11	2.05	0.73	3.59	0.77	5.59	1.73	2.44	0.16
ZAR =	37	0.09	0.18	4.42	0.23	4.22	0.52	3.29	0.48	7.14	0.44	1.81	0.16	6.44	1.99	0.16	0.15
ZARV	38	0.11	0.01	1.42	2.69	2.92	4.23	2.68	1.44	3.45	2.71	0.46	0.03	6.71	10.1	0.74	0.02
Contribution to others	39	17	6.6	105	57	101	40	117	28	144	57	51	10	153	73	25	6.1
Contribution including own	40	91	78	129	78	135	72	149	73	165	74	91	37	181	85	94	93
Contribution to BRIS excluding own	41	1.8	2.4	21	6.1	30	9.6	33	5.9	30	6.6	15	1.9	45	20	5	1.1
NET (BRIS)	42	−12	−2	8.4	−7	8.9	−12	13	−10	15	−10	−2	−17	21	−4	−1	−1
GROSS (BRIS)	43	15	7.1	33	19	52	31	53	22	46	23	33	21	69	45	11	2.9
Country/Market		PEN	PENV	PHP	PHPV	PLN	PLNV	RON	RONV	THB	THBV	TRY	TRYV	UAH	UAHV
	Row/Column No.	17	18	19	20	21	22	23	24	25	26	27	28	29	30
ARS	1	0.98	0.17	0.25	0.16	0.42	0.1	0.52	0.11	0.16	0.06	0.48	0.67	0.32	0.29
ARSV	2	0.25	0.11	0.14	0.2	0.35	0.41	0.6	0.3	0.13	0.04	0.29	0.11	0.69	0.3
BGN	3	0.49	0.15	2.52	0.1	14.8	0.29	15.7	0.3	1.22	0.1	2.25	0.21	0.08	0.75
BGNV	4	1.68	0.15	0.53	1.31	6.12	7.05	5.22	9.48	0.06	0.01	1.57	1	1.47	0.21
CLP	5	2.55	0.34	2.46	0.22	5.35	0.62	2.84	0.68	0.84	0.06	3.64	0.1	0.4	0.38
CLPV	6	0.97	0.39	0.54	0.73	1.54	3.24	1.33	2.65	0.06	0.01	1.74	0.17	0.15	0.45
COP	7	4.1	0.59	3.95	0.3	4.75	0.44	2.9	0.31	0.68	0.27	3.49	0.14	0.51	0.38
COPV	8	2.82	3.43	1.98	1.82	0.54	0.91	0.32	0.55	0.97	0.12	0.79	0.25	1.23	0.57
HUF	9	1.34	0.21	2.73	0.21	15.3	0.19	11.9	0.44	0.81	0.06	3.69	0.12	0.09	0.29
HUFV	10	1.24	0.08	0.76	1.35	3.89	9.89	3.27	9.19	0.09	0.02	1.45	1.23	0.49	0.04
IDR	11	1.42	0.06	5.13	0.78	2.78	0.48	1.94	0.86	1.03	0.32	4.81	1.43	0.29	0.41
IDRV	12	2.28	0.08	0.46	0.38	3.07	3.51	2.67	1.45	0.04	0.07	5.58	2.51	0.47	0.05
MXN	13	3.52	0.16	3.46	0.14	6.08	0.59	3.24	0.76	0.38	0.05	5.12	0.03	0.39	0.27
MXNV	14	2.66	0.2	1.06	0.36	4.38	2.96	3.37	4.02	0.08	0.05	3.11	0.31	0.36	0.06
PKR	15	0.84	3.01	0.59	0.17	1.24	0.43	1.22	0.91	0.23	0.03	0.43	2.16	0.53	0.3
PKRV	16	0.16	0.15	0.28	0.07	0.15	0.12	0.09	0.17	0.06	0.01	0.18	0.42	2.14	0.49
PEN	17	46.4	0.8	2.06	0.14	3.8	0.35	1.96	0.4	0.16	0.02	1.83	0.38	0.27	0.14
PENV	18	1.1	66	1.03	0.58	1.81	1.34	1.95	1	0.19	0.18	0.62	0.08	1.57	0.12
PHP	19	1.62	0.88	34.5	0.41	5.74	0.61	4.07	0.4	1.36	0.17	3.81	0.24	0.09	0.08
PHPV	20	0.39	1.86	0.39	40.1	4.05	7.22	3.79	5.16	0.12	0.07	2.67	1.22	0.07	0.65
PLN	21	1.44	0.14	3.19	0.28	20.2	0.1	11.1	0.3	0.92	0.06	4.22	0.18	0.05	0.34
PLNV	22	1.5	0.14	0.83	1.38	7.84	11.1	5.07	7.6	0.09	0.07	3	0.61	0.52	0.11
RON	23	0.94	0.21	2.82	0.15	13.3	0.22	24.1	0.23	1.42	0.06	3.39	0.04	0.13	0.64
RONV	24	1.12	0.46	0.27	2.97	1.05	7.98	0.88	36	0.28	0.01	0.76	0.06	1.57	0.24
THB	25	0.3	0.26	3.43	1.62	2.04	0.3	2.5	0.38	65.6	1.18	1.39	0.18	0.12	0.21
THBV	26	0.04	0.17	0.18	0.2	0.35	0.11	0.28	0.05	7.43	87	0.2	0.06	0.04	0.03
TRY	27	1.23	0.21	3.31	0.63	6.58	0.34	4.54	0.2	0.92	0.19	30.9	2.04	0.47	0.21
TRYV	28	1.12	0.04	0.97	0.61	4.48	2.95	2.3	1.72	0.14	0.03	18.8	14.4	0.34	0.03
UAH	29	1.19	0.76	0.26	0.43	0.62	0.99	0.68	1.61	0.22	0.02	0.69	0.18	45.1	7.4
UAHV	30	0.43	0.39	0.32	0.16	0.3	0.8	0.35	0.84	0.23	0.01	0.79	0.1	28.1	37.9
BRL	31	2.26	0.32	3.07	0.21	5.29	0.39	3.27	0.7	0.81	0.13	5.69	0.11	0.36	0.25
BRLV	32	1.94	0.28	1.14	1.23	3.61	2.16	2.7	1.94	0.36	0.13	3.31	0.34	0.35	0.09
RUB	33	2.49	0.16	2.65	0.23	6.26	0.16	4.55	0.06	0.9	0.04	2.4	0.11	1.12	0.37
RUBV	34	1.32	0.06	0.03	0.03	1.26	1.72	0.68	0.19	0.34	0.01	0.19	0.06	0.71	0.44
INR	35	2.5	0.34	6.71	0.38	5.55	0.28	3.8	0.48	1.32	0.65	3.84	0.06	0.29	0.2
INRCB	36	1.61	0.27	1.65	0.83	2.91	1.79	2.56	0.47	0.91	0.54	2.55	0.21	0.13	0.48
ZAR =	37	2.04	0.17	2.6	0.21	8.18	0.18	4.98	0.75	0.89	0.07	4.89	0.16	0.05	0.22
ZARV	38	1.46	0.2	0.41	0.29	3.03	3.31	2.7	3.85	0.11	0.04	1.47	1.53	0.39	0.03
Contribution to others	39	55	17	64	21	159	65	122	61	26	4.9	105	19	46	18
Contribution including own	40	102	83	99	61	179	76	146	97	92	92	136	33	92	56
Contribution to BRIS excluding own	41	16	1.8	18	3.4	36	10	25	8.4	5.6	1.6	24	2.6	3.4	2.1
NET (BRIS)	42	0.8	−2	−0	−3	19	−7	12	−1	−1	−0	4.7	−15	−14	−18
GROSS (BRIS)	43	30	5.7	37	10	53	27	39	18	12	3.2	44	20	21	22
Country/Market		BRL	BRLV	RUB	RUBV	INR	INRCB	ZAR	ZARV	From Others	Contribution From BRIS excluding Own
	Row/Column No.	31	32	33	34	35	36	37	38	39	40
ARS	1	1.16	0.41	1	0.55	0.32	0.43	4.26	5.33	26.6	13.46
ARSV	2	0.52	0.26	1.72	0.7	0.34	0.07	0.42	0.63	29.1	4.66
BGN	3	2.2	0.21	2.94	0.25	2.49	0.11	3.87	0.06	75.1	12.13
BGNV	4	4.09	0.96	2.82	0.28	1.16	0.08	3.17	0.85	78.6	13.41
CLP	5	7.69	0.24	3.99	0.07	3.85	0.19	5.38	0.09	66.5	21.5
CLPV	6	5.8	4.54	1.12	0.1	2.73	0.05	4.8	2.06	67.6	21.2
COP	7	5.48	0.32	6.04	0.28	3.56	0.23	3.97	0.13	67.6	20.01
COPV	8	3.61	0.76	6.98	0.8	0.58	0.18	2.3	0.52	55.7	15.73
HUF	9	2.9	0.53	3.37	0.24	2.95	0.07	5.43	0.12	79	15.61
HUFV	10	3.99	2.54	1.14	0.12	1.67	0.61	3.96	2.07	83.2	16.1
IDR	11	3.87	1.68	2.22	0.33	4.68	0.31	3.92	0.54	60.3	17.55
IDRV	12	4.31	3.86	1.96	0.22	2.36	0.34	4.25	1.47	73.4	18.77
MXN	13	7.34	0.56	4.26	0.12	4.5	0.09	6.63	0.15	71.8	23.65
MXNV	14	7.68	3.97	2.11	0.13	3.35	0.52	5.08	1.37	88.2	24.21
PKR	15	1.22	0.72	0.39	0.23	1.81	0.29	0.48	0.41	31.1	5.55
PKRV	16	0.25	0.28	0.16	0.22	0.09	0.14	0.63	0.07	13.4	1.84
PEN	17	2.84	0.65	3.78	0.36	3.61	0.16	3.35	0.06	53.6	14.81
PENV	18	0.22	0.3	0.59	1.22	0.21	0.15	0.59	0.58	34	3.86
PHP	19	3.74	0.36	2.85	0.15	7.64	0.27	3.43	0.11	65.5	18.55
PHPV	20	1.34	0.91	0.56	0.07	0.56	1.04	1.67	0.57	59.9	6.72
PLN	21	3.4	0.52	3.8	0.26	3.48	0.07	5.76	0.1	79.8	17.39
PLNV	22	4.53	1.83	2.65	0.22	2.07	0.31	3.91	1.15	88.9	16.67
RON	23	2.81	0.4	3.1	0.17	2.58	0.14	4.17	0.22	75.9	13.59
RONV	24	2.9	1.13	1.33	0.65	0.29	0.34	1.18	1.42	64	9.24
THB	25	1.27	0.07	1.11	0.09	2.28	0.29	1.61	0.06	34.4	6.78
THBV	26	0.08	0.1	0.03	0.03	0.8	0.28	0.19	0.12	12.9	1.63
TRY	27	5.98	1.29	2.42	0.12	3.51	0.11	5.68	0.54	69.1	19.65
TRYV	28	5.68	1.55	1.5	0.17	1.31	0.13	5.54	1.44	85.6	17.32
UAH	29	1.07	3.82	3.23	5.63	0.65	0.38	1.42	0.99	54.9	17.19
UAHV	30	0.54	1.69	2.42	13.4	0.38	0.12	0.42	0.81	62.1	19.76
BRL	31	30.26	1.34	3.1	0.18	3.51	0.33	4.85	0.17	69.7	13.48
BRLV	32	15.88	16.7	1.97	0.34	2.53	0.45	4.77	0.78	83.3	26.72
RUB	33	3.3	0.05	34.9	2.65	3.18	0.38	4.98	0.22	65.1	14.76
RUBV	34	1.53	0.91	14.1	61.9	0.97	0.43	1.77	0.47	38.1	20.21
INR	35	3.92	0.6	3.43	0.44	30.9	1.23	4.44	0.22	69.1	14.28
INRCB	36	3.06	0.85	0.93	0.1	15.9	33	3.43	0.19	67	24.48
ZAR =	37	4.38	1.11	4.39	0.19	3.55	0.17	28.1	0.96	71.9	14.75
ZARV	38	3.35	5.17	1.26	0.32	1.96	0.6	13.9	14.9	85.1	26.58
Contribution to others	39	134	47	101	31	97	11	135.6	27	236
Contribution including own	40	164	63	136	93	128	44	163.8	42	62%
Contribution to BRIS excluding own	41	35	10	29	4.2	32	3.6	38	3
NET (BRIS)	42	22	−17	14	−16	17	−21	23	−24
GROSS (BRIS)	43	49	37	44	24	46	28	53	30

Notes:

(i)Diebold and Yilmaz (2012) spillover index methodology is used for return and conditional volatility of 19 sample markets 38 × 38 connectedness matrix representing the linkages across the two moments of each market (Rows 1–38, Columns 1–38). All values are measured in percentage. Each row sums to

100%. “R” after each country represents return, “V” after each country represents volatility.

(ii)Contribution to others (Row 39) shows the sum of spillovers from the given sample market to all other countries and markets.

(iii) Contribution to others including own (Row 40) shows the sum of spillovers from the given sample market to own as well as all other countries.

(iv) Contribution to BRIS excluding own: (Row 41) shows the sum of spillovers from the given sample market to BRIS (excluding own market in case of BRIS)

(v)Contribution from others (Column 39) shows the spillover from all other markets to the given sample market.

(vi)Contribution from BRIS excluding own (Column 40) shows the spillover from BRIS to the given sample market.

(vii) NET (BRIS) (Row 42): Row 41 – (Transpose: Column 40): showing dominance.

(viii) Gross (BRIS) (Row 43): Row 41 + (Transpose of Column 40): showing openness

(ix)Total spillover index appears in the lower right corner of the table

Table 5. Block aggregation approach under Diebold–Yilmaz results of currency markets

Table 5 (Panel A): Total spillovers among the sample markets aggregated over the two moments using Greenwood Nimmo Procedure (return and conditional volatility).
Currency/Country		ARS	BGN	CLP	COP	HUF	IDR	MXN	PKR	PEN	PHP	PLN
	Column/Row No	1	2	3	4	5	6	7	8	9	10	11
ARS	1	77.91	1.585	0.98	1.91	0.74	1.485	0.97	1.06	0.755	0.375	0.64
BGN	2	0.17	25.385	2.685	2.06	15.275	0.85	2.945	0.5	1.235	2.23	14.105
CLP	3	0.27	3.04	35.625	5.905	4.575	1.24	9.615	1.14	2.125	1.975	5.375
COP	4	0.42	1.63	5.155	44.37	2.5	2.3	5.345	0.845	5.47	4.025	3.32
HUF	5	0.095	12.33	3.9	2.62	20.91	0.855	7.73	0.515	1.435	2.525	14.64
IDR	6	0.495	2.465	4.29	4.575	3.99	35.095	7.965	0.78	1.92	3.375	4.92
MXN	7	0.28	3.855	7.42	5.55	5.845	1.225	27.735	0.55	3.27	2.51	7.005
PKR	8	0.32	1.335	1.645	1.46	1.315	1.305	1.24	79.42	2.08	0.555	0.97
PEN	9	0.385	1.38	4.165	6.06	3.715	1.19	4.6	1.07	57.11	1.905	3.65
PHP	10	0.17	3.34	2.765	4.08	7.595	2.98	5.005	0.57	2.375	37.695	8.81
PLN	11	0.165	11.225	4.205	3.135	14.14	0.935	7.305	0.665	1.61	2.84	19.605
RON	12	0.14	16.6	2.135	1.695	11.835	0.765	3.885	0.87	1.365	3.105	11.29
THB	13	0.21	1.55	1.13	1.42	1.515	1.125	0.785	0.16	0.385	2.715	1.4
TRY	14	0.31	3	5.58	4.5	5.49	2.32	10	0.475	1.3	2.76	7.175
UAH	15	0.65	1.785	1.64	2.225	1.76	1.28	5.13	1.57	1.385	0.585	1.355
BRL	16	0.3	3.44	7.405	6.915	4.35	2.335	9.98	0.485	2.4	2.825	5.725
RUB	17	1.125	2.43	2.685	5.68	3.28	0.905	3.42	0.31	2.015	1.47	4.7
INR	18	0.47	3.04	3.975	2.955	4.035	4.135	6.735	1.69	2.36	4.785	5.265
ZAR	19	0.195	4.38	5.945	3.945	6.87	1.23	12.615	0.535	1.935	1.755	7.35
Table 5 (Panel B): Net/Gross Spillovers to all markets and Net/Gross Spillovers to BRICS
Contribution including own	20	84.08	103.8	103.3	111.1	119.7	63.56	133	93.21	92.53	80.01	127.3
Contribution to others	21	6.17	78.41	67.71	66.69	98.83	28.46	105.3	13.79	35.42	42.32	107.7
NET	22	−15.9	3.78	3.345	11.07	19.74	−36.4	33.03	−6.82	−7.47	−20	27.31
GROSS	23	28.27	153	132.1	122.3	177.9	93.36	177.5	34.4	78.31	104.6	188.1
Contribution to BRIS excluding own	24	2.09	13.29	20.01	19.5	18.54	8.605	32.75	3.02	8.71	10.84	23.04
NET (BRIS)	25	−6.97	0.52	−1.34	1.625	2.68	−9.56	8.82	−0.68	−0.63	−1.8	6.01
GROSS (BRIS)	26	11.15	26.06	41.36	37.37	34.39	26.77	56.68	6.715	18.05	23.47	40.07
Currency/Country		RON	THB	TRY	UAH	BRL	RUB	INR	ZAR	From Others	From BRIS
	Column/Row No	12	13	14	15	16	17	18	19	20	21
ARS	1	0.765	0.195	0.775	0.8	1.175	1.985	0.58	5.32	22.095	9.06
BGN	2	15.34	0.695	2.515	1.255	3.73	3.145	1.92	3.975	74.63	12.77
CLP	3	3.75	0.485	2.825	0.69	9.135	2.64	3.41	6.165	64.36	21.35
COP	4	2.04	1.02	2.335	1.345	5.085	7.05	2.275	3.46	55.62	17.87
HUF	5	12.395	0.49	3.245	0.455	4.98	2.435	2.65	5.79	79.085	15.855
IDR	6	3.46	0.73	7.165	0.61	6.86	2.365	3.845	5.09	64.9	18.16
MXN	7	5.695	0.28	4.285	0.54	9.775	3.31	4.23	6.615	72.24	23.93
PKR	8	1.195	0.165	1.595	1.73	1.235	0.5	1.165	0.795	20.605	3.695
PEN	9	2.655	0.275	1.455	1.05	2.005	2.975	2.065	2.29	42.89	9.335
PHP	10	6.71	0.86	3.97	0.445	3.175	1.815	4.755	2.89	62.31	12.635
PLN	11	12.05	0.57	4.005	0.51	5.14	3.465	2.965	5.46	80.39	17.03
RON	12	30.605	0.885	2.125	1.29	3.62	2.625	1.675	3.495	69.4	11.415
THB	13	1.605	80.67	0.915	0.2	0.76	0.63	1.825	0.99	19.32	4.205
TRY	14	4.38	0.64	33.075	0.525	7.25	2.105	2.53	6.6	66.94	18.485
UAH	15	1.74	0.24	0.88	59.28	3.56	12.33	0.765	1.82	40.7	18.475
BRL	16	4.305	0.715	4.725	0.525	32.08	2.795	3.41	5.285	67.92	11.49
RUB	17	2.74	0.645	1.38	1.32	2.895	56.78	2.48	3.72	43.2	9.095
INR	18	3.655	1.71	3.33	0.55	4.215	2.45	40.51	4.14	59.495	10.805
ZAR	19	6.14	0.555	4.025	0.345	7.005	3.08	3.14	28.96	71.045	13.225
Table 5 (Panel B): Net/Gross Spillovers to all markets and Net/Gross Spillovers to BRICS
Contribution including own	20	121.2	91.83	84.63	73.47	113.7	114.5	86.19	102.9	1077.1
Contribution to others	21	90.62	11.16	51.55	14.19	81.6	57.7	45.69	73.9	56.69%
NET	22	21.22	−8.17	−15.4	−26.5	13.68	14.5	−13.8	2.855
GROSS	23	160	30.48	118.5	54.89	149.5	100.9	105.2	144.9
Contribution to BRIS excluding own	24	16.84	3.625	13.46	2.74	14.12	8.325	9.03	13.15
NET (BRIS)	25	5.425	−0.58	−5.03	−15.7	2.625	−0.77	−1.78	−0.08
GROSS (BRIS)	26	28.26	7.83	31.95	21.22	25.61	17.42	19.84	26.37

Notes:

(i) sGreenwood-Nimmo et al. (2015) block aggregation approach is used under Diebold–Yilmaz framework to integrate a set of individual variables to examine linkages of 19 sample markets (along with USA as a global factor) giving a 19 × 19 connectedness matrix depicting the total spillovers among the sample markets aggregated over the two moments (return and conditional volatility). (Row 1–19, Column 1–19) All values are measured in percentage. Each row sums to 100%.

Contribution to others including own (Row 20) shows the sum of spillovers from the given sample market to own as well as all other countries.

(iii) Contribution to others (Row 21) shows the sum of spillovers from the given sample market to all other countries and markets.

(iv) Contribution from others excluding own (Column 20) shows the spillover from all other markets to the given sample market.

(v)NET contribution: Row 21 – (Transpose of Column 21): showing dominance (Row 22).

(vi) Gross contribution: Row 21 + (Transpose of Column 20): showing openness (Row 23).

(vii) Contribution to BRIS excluding own: (Row 24) shows the sum of spillovers from the given sample market to BRIS (excluding own market in case of BRIS).

(viii) Contribution from BRIS excluding own (Column 21) shows the spillover from BRIS to the given sample market.

(ix) NET (BRIS): Row 24 –– (Column 21): showing dominance of the sample market over BRIS (Row 25).

(x) Gross (BRIS): Row 24 + (Column 21): Showing openness of the sample market with BRIS (Row 26).

Figure 2. Dynamic total spillovers for the entire sample EMEs (currency markets).

Notes: (i) The graph in the figure shows dynamic total spillovers for all the sample EMEs including BRIS for the entire period of study.(ii) Dynamic spillover index is obtained using 250-week rolling window for estimation and 10-week forecast period.(iii) Crisis period is highlighted, reflected by the shaded region.(iv): x-axis represents year, y-axis represents total spillover (%).

Figure 3. Dynamic net spillovers for select emes including BRIS (currency markets).

Notes: (i) The graphs in the figure show dynamic net spillovers for only those EMEs that have high gross spillover (BRIS) values and a positive net spillover (BRIS) with all the sample EMEs including BRICS for the entire period of study. (ii) Figures (a) to (d) represent BRIS, (e) to (i) represent COP, HUF, MXN, PLN and RON, respectively.(iii) Dynamic spillover index is obtained using 250-week rolling window for estimation and 10-week forecast period.(iv) Crisis period has also been highlighted reflected by the shaded region in each graph.(v): x-axis represents year, y-axis represents net spillover (%).

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. doi:10.1016/j.ijforecast.2011.02.006

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