Interconnectedness in the FOREX market during the high inflation regime : A network analysis
Journal article
Ahmed, Shamima, Akhtaruzzaman, Md, Le, Van, Nath, Tamal and Rahman, Molla Ramizur. (2024). Interconnectedness in the FOREX market during the high inflation regime : A network analysis. Research in International Business and Finance. 71, pp. 1-13. https://doi.org/10.1016/j.ribaf.2024.102467
Authors | Ahmed, Shamima, Akhtaruzzaman, Md, Le, Van, Nath, Tamal and Rahman, Molla Ramizur |
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Abstract | Our study employs network analysis to examine the interconnectedness in the Foreign Exchange market, focusing on 18 key currencies from both advanced and emerging markets from 2017 to 2023. This analysis includes a comparative look at the impact of two major recent crises: the COVID–19 pandemic and the Russia-Ukraine war. The latter is notably marked by increased inflation and uncertainty in economic policies. During the COVID–19 pandemic, we observed a significant level of interconnectedness among the EURO and 17 other currencies, indicating a dense network. In contrast, the period of the Russia-Ukraine war revealed a tendency for countries less engaged in international trade to become more isolated, as seen by their greater distance from the network's centroid. Additionally, we developed the Systemic Contagion Index, which shows a heightened susceptibility to contagion among developed economies during both the COVID–19 and Russia-Ukraine war crises, underscoring the vulnerability of developed countries' currency networks in times of turmoil. This study provides valuable insights for investors and global businesses, offering guidance on assessing currency vulnerability and enhancing their strategies for hedging and managing risks amidst fluctuating market conditions, especially during the high inflation regime. |
Keywords | FOREX; high-inflation regime ; interconnectedness ; contagion; network; COVID–19 ; Russia-Ukraine war |
Year | 01 Jan 2024 |
Journal | Research in International Business and Finance |
Journal citation | 71, pp. 1-13 |
Publisher | Elsevier Ltd. (UK) |
ISSN | 0275-5319 |
Digital Object Identifier (DOI) | https://doi.org/10.1016/j.ribaf.2024.102467 |
Web address (URL) | https://www.sciencedirect.com/science/article/pii/S0275531924002605?via%3Dihub |
Open access | Published as non-open access |
Research or scholarly | Research |
Page range | 1-13 |
Publisher's version | License All rights reserved File Access Level Controlled |
Output status | Published |
Publication dates | |
Online | 28 Jun 2024 |
Publication process dates | |
Accepted | 27 Jun 2024 |
Deposited | 10 Sep 2024 |
Additional information | © 2024 Published by Elsevier B.V. |
Place of publication | Netherlands |
https://acuresearchbank.acu.edu.au/item/90y4q/interconnectedness-in-the-forex-market-during-the-high-inflation-regime-a-network-analysis
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