Geopolitical risks and historical exchange rate volatility of the BRICS
| dc.contributor.author | Salisu, Afees A. | |
| dc.contributor.author | Cunado, Juncal | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_ZA |
| dc.date.accessioned | 2021-11-30T08:00:56Z | |
| dc.date.issued | 2022-01 | |
| dc.description.abstract | The predictability of geopolitical risks (GPR) for exchange rate volatility of the BRICS is examined using both historical and recent GPR data. Relying on the GARCH-MIDAS-X model based on available data frequencies, we find that the BRICS exchange rates are more vulnerable to recent GPR data than the historical data. Additional analysis suggests contrasting evidence between the recent global GPR data and the country-specific GPR data implying that the BRICS exchange rates are more vulnerable to global than domestic GPR. Finally, we document some out-of-sample economic gains of accounting for GPR in the valuation of foreign exchange portfolio. | en_ZA |
| dc.description.department | Economics | en_ZA |
| dc.description.embargo | 2023-09-27 | |
| dc.description.librarian | hj2021 | en_ZA |
| dc.description.uri | http://www.elsevier.com/locate/iref | en_ZA |
| dc.identifier.citation | Salisu, A.A., Cuñado, J. & Gupta, R. 2022, 'Geopolitical risks and historical exchange rate volatility of the BRICS', International Review of Economics and Finance, vol. 77, pp. 179-190. | en_ZA |
| dc.identifier.issn | 1059-0560 (print) | |
| dc.identifier.issn | 1873-8036 (online) | |
| dc.identifier.other | 10.1016/j.iref.2021.09.017 | |
| dc.identifier.uri | http://hdl.handle.net/2263/82905 | |
| dc.language.iso | en | en_ZA |
| dc.publisher | Elsevier | en_ZA |
| dc.rights | © 2021 Elsevier Inc. All rights reserved. Notice : this is the author’s version of a work that was accepted for publication in International Review of Economics and Finance. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. A definitive version was subsequently published in International Review of Economics and Finance, vol. 77, pp. 179-190, 2022. doi : 10.1016/j.iref.2021.09.017. | en_ZA |
| dc.subject | Geopolitical risks (GPRs) | en_ZA |
| dc.subject | Exchange rate volatility | en_ZA |
| dc.subject | Brazil, Russia, India, China and South Africa (BRICS) | en_ZA |
| dc.subject | GARCH-MIDAS-X | en_ZA |
| dc.subject | Forecast evaluation | en_ZA |
| dc.subject | Generalised autoregressive conditional heteroskedasticity (GARCH) | en_ZA |
| dc.subject | Mixed data sampling (MIDAS) | en_ZA |
| dc.title | Geopolitical risks and historical exchange rate volatility of the BRICS | en_ZA |
| dc.type | Postprint Article | en_ZA |