Modelling foreign exchange rate co-movement and its spatial dependence in emerging markets: a spatial econometrics approach
Charles Raoul Tchuinkam Djemo,
Joel Hinaunye Eita
Abstract:This paper studies the impact of macroeconomic factors on co-movement in the foreign exchange rate markets. Data of foreign exchange rates from 24 merging markets is used to this end along with a dynamic spatial Durbin model as to examine spatial dependencies among markets. Our empirical findings show no evidence that cultural ties exert a role in spreading macroeconomic shocks in the exchange rate of a country to the exchange rates of other countries. Moreover, we show that economic closeness through foreign … Show more
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