| dc.description.abstract | The Diebold-Yilmaz Connectedness Methodology, which employs the spillover effect index to measure connectedness (Diebold & Yilmaz, 2012 ), was adopted in the present study to analyze the connectedness of the real effective exchange rate (REER) index volatility recorded in the monthly data of 21 countries between 1994 and 2015. Empirical results indicate that under full-sample analysis, Saudi Arabia, the United States, and China were the prominent influencers. These countries were also easily influenced by other countries. The influence these countries exerted on others, however, far exceeds the extent to which they were influenced. Results of the rolling-sample windows show that total connectedness peaked during the financial crisis of 2008, indicating a strong connectedness among the REER indices of various countries throughout this period. Furthermore, a drastic decline in connectedness can be observed following the withdrawal of the Quantitative Easing Monetary Policy in 2013. Nonetheless, a steady rise in connectedness can be observed across the entire timeline. The main contribution of the present study is the use of REER indices as opposed to nominal exchange rate indices for the purpose of retaining the currencies that are commonly used as exchange benchmarks. | en_US |