Has the dependence structure of the BRICS exchange rates changed after the financial crisis? Evidence from R-Vine copula model
International Journal of Emerging Markets
ISSN: 1746-8809
Article publication date: 11 March 2021
Issue publication date: 1 December 2022
Abstract
Purpose
The authors examine the dependence structure of the BRICS exchange rates.
Design/methodology/approach
The authors construct a regular vine copula model to study the co-movements of exchange rates in BRICS controlling the influences from the SDR currencies and the oil prices.
Findings
The main findings show that, after the financial crisis, RMB pursued a more balanced strategy shifting from USD-centered to USD-EUR dependency and the oil prices become more dependent on RUB than USD, which could weaken the dollar hegemony. From robustness tests, we find that the inclusion of RMB in SDR has certain but limited impacts on the dependence structure and the influence of the GBP weakened as well. The results have important implications for currency trade, policy design and the future of the BRICS.
Originality/value
The contribution of this paper is twofold. First, we examine the interdependence structure of the BRICS exchange rates controlling for the influence of SDR currencies and the oil prices with R-Vine copula model. Second, we compare the pre- and after-crisis structure and see if the financial crisis and the BRICS summits have changed the structure.
Keywords
Citation
Zhang, Z. and Zhang, T. (2022), "Has the dependence structure of the BRICS exchange rates changed after the financial crisis? Evidence from R-Vine copula model", International Journal of Emerging Markets, Vol. 17 No. 10, pp. 2490-2509. https://doi.org/10.1108/IJOEM-06-2020-0717
Publisher
:Emerald Publishing Limited
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