A comparative analysis of currency volatility among BRICS countries

Abstract

In recent years, exchange rates of the BRICS countries have all experienced periods of high volatility. Thus far, no study has simultaneously compared the volatility of the BRICS currencies and analyzed the dependence and causal structure of relative volatility of these peer currencies. We addressed this issue by using monthly data from January 1995 to January 2017. We find that:(i) Brazil, India and China are more competitive than South Africa, on average, while South Africa, in turn, is only more competitive than Russia;(ii) the rand has been more volatile than the Brazilian real and the Russian ruble, but less volatile than the Chinese renminbi and the Indian rupee; (iii) there are inter-currency volatility correlations among the real, renminbi, ruble, and rand;(iv) the renminbi return volatility causes return volatility in the real, ruble, and rand.