Wavelet coherence analysis and exchange rate movements

KUŞKAYA S., Toğuç N., BİLGİLİ F.

Quality and Quantity, cilt.56, sa.6, ss.4675-4692, 2022 (Scopus) identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 56 Sayı: 6
  • Basım Tarihi: 2022
  • Doi Numarası: 10.1007/s11135-022-01327-7
  • Dergi Adı: Quality and Quantity
  • Derginin Tarandığı İndeksler: Scopus, International Bibliography of Social Sciences, ABI/INFORM, Index Islamicus, Political Science Complete, Psycinfo, Social services abstracts, Sociological abstracts, Worldwide Political Science Abstracts
  • Sayfa Sayıları: ss.4675-4692
  • Anahtar Kelimeler: Contagion, Exchange rates, Interdependence, International asset management, Wavelet coherence
  • Kayseri Üniversitesi Adresli: Hayır

Özet

© 2022, The Author(s), under exclusive licence to Springer Nature B.V.In this study, we examine the volatility of exchange rates to exogenous monetary shocks by dividing the volatility into subsections of “interdependence” and “contagion” during FED’s easing for the period from 2010:11 to 2018:7. Conventional methods are neither suitable to differentiate those components nor to identify the co-movements concerning time and frequency analysis, which are critical for timing in asset management and policymaking. Therefore, wavelet analysis is introduced to differentiate such components. The contribution of the study is threefold: First, this study compensates for the lack of research capturing the volatility structure of exchange rates during exogenous shocks. Second, we show both the long-term and short-term impact with associated frequency ranges. Third, we show that identifying the impact of a shock in different components and frequency ranges can provide valuable insights for the timing of market preventions and asset allocation.