Asymmetric volatility spillovers and dynamic connectedness under uncertainty: evidence from BRICS exchange rates, the US Dollar, the Japanese Yen, and oil markets

This paper examines asymmetric volatility spillovers and dynamic connectedness among BRICS exchange rates, the US Dollar Index (USDX), the Japanese Yen (JPY), Brent crude oil, and the Geopolitical Risk Index (GPRD), employing a Time-Varying Parameter Vector Autoregression (TVP-VAR) framework combined with a GJR-GARCH specification. By decomposing volatility into positive (good) and negative (bad) components, the analysis offers a detailed perspective on risk transmission under extreme market conditions. The findings indicate that the Russian Ruble and oil-market volatility function as persistent net transmitters of shocks, particularly during major crises such as the 2014–2015 oil price collapse, the COVID-19 pandemic, and the 2022 Russia–Ukraine conflict. By contrast, the Chinese Yuan and Indian Rupee consistently behave as net receivers, reflecting their exposure to global macroeconomic uncertainty. Portfolio results show that USDX, JPY, and Brent crude oil contribute to greater portfolio resilience and risk reduction during periods of uncertainty, while asymmetric portfolio dynamics reveal that adverse oil shocks intensify systemic risk, especially for the Russian Ruble and South African Rand. Overall, the results highlight the relevance of asymmetry-aware approaches for managing currency and commodity risks and provide practical insights for investors and policymakers in emerging markets.