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Measurement of Connectedness and Frequency Dynamics in Global Natural Gas Markets
Open AccessArticle

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

1
Graduate School of Economics, Kobe University, 2-1, Rokkodai, Nada-Ku, Kobe 657-8501, Japan
2
The Kansai Electric Power Company, Incorporated, 6-16, Nakanoshima 3-chome, Kita-Ku, Osaka 530-8270, Japan
*
Author to whom correspondence should be addressed.
Energies 2019, 12(20), 3970; https://doi.org/10.3390/en12203970
Received: 27 August 2019 / Revised: 15 October 2019 / Accepted: 16 October 2019 / Published: 18 October 2019
(This article belongs to the Special Issue Empirical Analysis of Natural Gas Markets)
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. View Full-Text
Keywords: BRICS; exchange rates; connectedness; time domain; frequency domain BRICS; exchange rates; connectedness; time domain; frequency domain
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MDPI and ACS Style

He, Y.; Nakajima, T.; Hamori, S. Connectedness Between Natural Gas Price and BRICS Exchange Rates: Evidence from Time and Frequency Domains. Energies 2019, 12, 3970.

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