SPILLOVER EFFECTS OF EXCHANGE RATE RETURNS IN SELECTED ASIAN COUNTRIES

We analyze the nature of exchange rate return spillovers for 16 currencies. We use 10 years of daily exchange rate data, covering January 01, 2010 to December 31, 2019. By using the spillover index proposed by Diebold and Yilmaz (2009, 2012), we provide empirical evidence on the spillover of exchange rate returns among the Asian countries. The largest spillover flows from the Singapore dollar to other currencies (16.49%). Overall, our results confirm the presence of exchange rate return spillovers within the Asian countries and about 22% of the forecast error variance is due to spillovers