Abstract
This study investigates the time-frequency co-movement and cross-quantile connectedness of exchange rates. Using wavelet coherence and cross-quantile methods, we examine ASEAN+3 countries’ time-frequency co-movement, quantile spillover effects, and network connectedness of the exchange rate markets. Our empirical results are as follows: significant co-movement heterogeneity exists across countries over different frequency bands. Moreover, the Chinese Yuan (CNY), Japanese Yen, and South Korea Won are desirable sources of diversification for other currencies across different investment horizons. CNY and JPY exhibit good regional safe haven currency attributes in different investment horizons. Overall, these findings suggest ways for currency authorities to maintain exchange rate stability and investor portfolio decisions.
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