A study on the dynamics of exchange rate volatility spillover network: Evidence from Central Asia

Exchange rate volatility interacts closely with capital market prices and have a huge impact on import-export trade and foreign investment in the real economy. This paper adopted the VAR -based spillover index approach to explore the exchange rate risk contagion among belt -road countries. By taking Central Asian countries as example, we find that the internal interaction is extremely weak among Central Asian currency markets while the Kyrgyz currency plays a relatively important role in the entire region. Moreover, spillovers among Central Asian currency markets are inevitably influenced by major economic/political events, which needs further study in the future. Empirical results contribute to the policy making of regulators and trading behaviours of investors in the foreign currency market. (C) 2018 The Authors. Published by Elsevier B.V.