Exchange Rate Spillovers and Correlation Dynamics in the Asia–Oceania Region: A Connectedness Approach under Global Uncertainty

Exchange Rate Spillovers and Correlation Dynamics in the Asia–Oceania Region: A Connectedness Approach under Global Uncertainty | Research Square window.SnipcartSettings = { analytics: { enabled: false } }; (function() { var accessVector = localStorage.getItem('access_vector') || ''; window.dataLayer = window.dataLayer || []; if (accessVector) { window.dataLayer.push({ user: { profile: { profileInfo: { snid: accessVector } } } }); } })(); (function(w,d,s,l,i){w[l]=w[l]||[];w[l].push({'gtm.start':new Date().getTime(),event:'gtm.js'});var f=d.getElementsByTagName(s)[0],j=d.createElement(s),dl=l!='dataLayer'?'&l='+l:'';j.async=true;j.src='https://www.googletagmanager.com/gtm.js?id='+i+dl;f.parentNode.insertBefore(j,f);})(window,document,'script','dataLayer','GTM-K279D39R'); Browse Preprints In Review Journals COVID-19 Preprints AJE Video Bytes Research Tools Research Promotion AJE Professional Editing AJE Rubriq About Preprint Platform In Review Editorial Policies Our Team Advisory Board Help Center Sign In Submit a Preprint Cite Share Download PDF Research Article Exchange Rate Spillovers and Correlation Dynamics in the Asia–Oceania Region: A Connectedness Approach under Global Uncertainty Shin Fukuda, Kyosuke Inoue, Taito Kamimura, Naoya Hanada, Kazuki Takahashi, and 1 more This is a preprint; it has not been peer reviewed by a journal. https://doi.org/ 10.21203/rs.3.rs-9364630/v1 This work is licensed under a CC BY 4.0 License Status: Posted Version 1 posted You are reading this latest preprint version Abstract This study provides a multi-layered analysis of currency volatility interconnectedness within the global and Regional Comprehensive Economic Partnership (RCEP) frameworks from 2000.1 to 2026.3. Employing a Time-Varying Parameter Vector Autoregression (TVP-VAR) combined with frequency decomposition, we disentangle short-term transitory noise from long-term structural dependencies in real effective exchange rates. Our findings reveal a significant "bottom-up" shift in regional baseline volatility following RCEP’s formal entry into force in 2022, signaling deepened trade integration. We identify a unique "triadic engine" of volatility driving the RCEP bloc: US-led finance, Sino-Japanese manufacturing, and Australian commodities. Notably, the Japanese Yen exhibits a "dual identity," acting as a passive global intermediary while remaining a dominant structural transmitter regionally. Furthermore, China functions as a "volatility gateway," relaying external U.S. shocks into the Asian region. In contrast, ASEAN economies, particularly the Philippines and Thailand, consistently function as structural receivers, highlighting their profound exposure to major hubs. The results emphasize the urgent need for enhanced regional financial cooperation, including the promotion of Local Currency Transactions (LCT) and strengthening the Chiang Mai Initiative Multilateralization (CMIM) to mitigate systemic risks and decouple regional stability from extra-regional monetary cycles. Full Text Additional Declarations No competing interests reported. Cite Share Download PDF Status: Posted Version 1 posted You are reading this latest preprint version Research Square lets you share your work early, gain feedback from the community, and start making changes to your manuscript prior to peer review in a journal. As a division of Research Square Company, we’re committed to making research communication faster, fairer, and more useful. We do this by developing innovative software and high quality services for the global research community. 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Also discoverable on Platform About Our Team In Review Editorial Policies Advisory Board Help Center Resources Author Services Accessibility API Access RSS feed Manage Cookie Preferences © Research Square 2026 | ISSN 2693-5015 (online) Privacy Policy Terms of Service Do Not Sell My Personal Information {"props":{"pageProps":{"initialData":{"identity":"rs-9364630","acceptedTermsAndConditions":true,"allowDirectSubmit":true,"archivedVersions":[],"articleType":"Research Article","associatedPublications":[],"authors":[{"id":625581759,"identity":"b5086f0d-30c5-4936-84cc-5444652b22c9","order_by":0,"name":"Shin Fukuda","email":"data:image/png;base64,iVBORw0KGgoAAAANSUhEUgAAAZAAAAAyAQMAAABI0h/eAAAABlBMVEX///8AAABVwtN+AAAACXBIWXMAAA7EAAAOxAGVKw4bAAAA9ElEQVRIiWNgGAWjYBAC9gY2BgYeBhsDNHEe3Fp4DoC1pJGu5TC6FjyARyItTeJNzXljfrHDjz/8bLNjMDjA/PADg8wdfFqOSc45dttMcnaagWFvWzJQC5uxBAPPM5xa7CXS26R52G7bGNxOMEjg3cZcv+EAgxnQqMN4bAFp+XcOqCX9w8G/2+qBtrB/I6Al7Zg0b9sBM4PbOYbNvNsOA7XwELCF51my5dy+ZGPJ2TnFzLL/jjNIHuYplkjA4xce9jTDG2++2Rn2S6dv/vjmTDUD3/H2jR8+9uAOMSyAGYgTew6QogUMfpCuZRSMglEwCoYtAADLDlBOwjYxZQAAAABJRU5ErkJggg==","orcid":"","institution":"Komazawa University","correspondingAuthor":true,"prefix":"","firstName":"Shin","middleName":"","lastName":"Fukuda","suffix":""},{"id":625581760,"identity":"b187341d-bf89-44a5-a42a-f2dba3647e81","order_by":1,"name":"Kyosuke Inoue","email":"","orcid":"","institution":"Komazawa University","correspondingAuthor":false,"prefix":"","firstName":"Kyosuke","middleName":"","lastName":"Inoue","suffix":""},{"id":625581761,"identity":"32d7d12d-325d-49a0-9822-d25a323762c8","order_by":2,"name":"Taito Kamimura","email":"","orcid":"","institution":"Komazawa University","correspondingAuthor":false,"prefix":"","firstName":"Taito","middleName":"","lastName":"Kamimura","suffix":""},{"id":625581762,"identity":"ae7c0184-3f3c-4ede-91bb-0b9c0a7e0548","order_by":3,"name":"Naoya Hanada","email":"","orcid":"","institution":"Komazawa University","correspondingAuthor":false,"prefix":"","firstName":"Naoya","middleName":"","lastName":"Hanada","suffix":""},{"id":625581763,"identity":"bc26e52c-47cb-4e2d-becf-198c5b064659","order_by":4,"name":"Kazuki Takahashi","email":"","orcid":"","institution":"Komazawa University","correspondingAuthor":false,"prefix":"","firstName":"Kazuki","middleName":"","lastName":"Takahashi","suffix":""},{"id":625581764,"identity":"82db5a7a-fd5b-4eaa-af07-ac94c1a4b1b3","order_by":5,"name":"Kensho Watanabe","email":"","orcid":"","institution":"Komazawa University","correspondingAuthor":false,"prefix":"","firstName":"Kensho","middleName":"","lastName":"Watanabe","suffix":""}],"badges":[],"createdAt":"2026-04-09 07:23:57","currentVersionCode":1,"declarations":"","doi":"10.21203/rs.3.rs-9364630/v1","doiUrl":"https://doi.org/10.21203/rs.3.rs-9364630/v1","draftVersion":[],"editorialEvents":[],"editorialNote":"","failedWorkflow":false,"files":[{"id":108093688,"identity":"300f43b1-903c-4216-89d7-af7027e617fa","added_by":"auto","created_at":"2026-04-29 09:41:54","extension":"pdf","order_by":1,"title":"","display":"","copyAsset":false,"role":"manuscript-pdf","size":1520785,"visible":true,"origin":"","legend":"","description":"","filename":"Fullver.Re2.pdf","url":"https://assets-eu.researchsquare.com/files/rs-9364630/v1_covered_40ee3f1d-85f7-46c2-a416-17d945a96d0b.pdf"}],"financialInterests":"No competing interests reported.","formattedTitle":"Exchange Rate Spillovers and Correlation Dynamics in the Asia–Oceania Region: A Connectedness Approach under Global Uncertainty","fulltext":[],"fulltextSource":"","fullText":"","funders":[],"hasAdminPriorityOnWorkflow":false,"hasManuscriptDocX":false,"hasOptedInToPreprint":true,"hasPassedJournalQc":"","hasAnyPriority":false,"hideJournal":true,"highlight":"","institution":"","isAcceptedByJournal":false,"isAuthorSuppliedPdf":true,"isDeskRejected":"","isHiddenFromSearch":false,"isInQc":false,"isInWorkflow":false,"isPdf":true,"isPdfUpToDate":true,"isWithdrawnOrRetracted":false,"journal":{"display":true,"email":"[email protected]","identity":"researchsquare","isNatureJournal":false,"hasQc":true,"allowDirectSubmit":true,"externalIdentity":"","sideBox":"","snPcode":"","submissionUrl":"/submission","title":"Research Square","twitterHandle":"researchsquare","acdcEnabled":true,"dfaEnabled":false,"editorialSystem":"","reportingPortfolio":"","inReviewEnabled":false,"inReviewRevisionsEnabled":true},"keywords":"","lastPublishedDoi":"10.21203/rs.3.rs-9364630/v1","lastPublishedDoiUrl":"https://doi.org/10.21203/rs.3.rs-9364630/v1","license":{"name":"CC BY 4.0","url":"https://creativecommons.org/licenses/by/4.0/"},"manuscriptAbstract":"This study provides a multi-layered analysis of currency volatility interconnectedness within the global and Regional Comprehensive Economic Partnership (RCEP) frameworks from 2000.1 to 2026.3. 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