Connectedness Between Natural Gas Price and BRICS Exchange Rates: Evidence from Time and Frequency Domains

• Published in: Energies (Basel) Vol. 12; no. 20; p. 3970
• Main Authors: He, Yijin, Nakajima, Tadahiro, Hamori, Shigeyuki
• Format: Journal Article
• Language: English
• Published: Basel MDPI AG 18-10-2019
• Subjects: brics; connectedness; Consumption; Crude oil; Crude oil prices; Developing countries; Economic growth; Economic models; Energy; Energy consumption; Energy industry; exchange rates; Foreign exchange rates; frequency domain; Gas pipelines; Gas production; GDP; Gross Domestic Product; Hypotheses; Interest rates; International trade; LDCs; Liquefaction; Liquefied natural gas; Long term; Natural gas; Natural gas industry; Natural gas prices; Oil and gas production; Securities markets; Shale; Shale gas; Stock exchanges; time domain; Time series; Transfer facilities; Variables; Volatility; United Kingdom > UK; United States > US; China; Japan; BRICS countries; Russia; India
• ISSN: 1996-1073; 1996-1073
• DOI: 10.3390/en12203970

In this paper, we investigate the connectedness between natural gas and BRICS (Brazil, Russia, India, China, and South Africa)’s exchange rate in terms of time and frequency. This empirical work is based on the approach of connectedness proposed by Diebold and Yilmaz, who provided an effective way of valuing how much variation in one variable is responsible for the value of other variables, and the method proposed by Baruník and Křehlík, who decomposed the results from Diebold and Yilmaz into different frequencies. We also use the rolling-window method to conduct time-varying analysis. The data used in this paper are from 23 August 2010 to 20 June 2019. We find that the natural gas price hardly influences BRICS’s exchange rates, which provides an important practical implication for policymakers, especially in oil-dependent countries.