Examining dynamic currency linkages amongst South Asian economies: An empirical study

摘要: Abstract In this paper, we examine the currency market linkages of South Asian member countries using daily data from 6 January 2004 to 31st March 2016. Time invariant and varying Copula GARCH models show that countries, except for India Nepal/Bhutan, have low levels which can be ascribed poor intra-regional trade intensity portfolio flows. We reconfirm copula results through Diebold Yilmaz methodology document connectedness is very limited in region. The trends fundamental determinants co-movements were compared with its neighbouring regional economic bloc Asia has a much longer history wider membership base i.e ASEAN + 6. From comparative analysis, it was found states work on their governance parameters, improve tariffs towards greater degree capital account convertibility adequate safeguards achieve higher linkages.