Global financial stability and exchange rate turbulence: a multiscale wavelet–quantile analysis of BRICS-T currencies

Purpose Concerns about the vulnerability of emerging-market currencies have intensified amid recurrent episodes of global financial volatility over the past 2 decades. This vulnerability is particularly pronounced among the BRICS-T economies (Brazil, Russia, India, China, South Africa and Turkey), which have become increasingly integrated into global financial markets. Although the general exposure of emerging market exchange rates to global financial shocks is widely recognised, the complex, frequency-dependent and state-dependent pathways of these spillovers remain less understood. This study contributes to this literature by offering a targeted empirical assessment of BRICS-T currency responses to global financial volatility. By applying a wavelet-quantile framework, we evaluate how global common asset volatility (COVOL) propagates across distinct return distributions and short-, medium- and long-run horizons. Design/methodology/approach The study employs daily data spanning from September 15 2005, to February 7 2025. Global financial stability is proxied by the Global Common Volatility Index (COVOL). To capture nonlinear, asymmetric and frequency-dependent dynamics, the analysis applies wavelet quantile-on-quantile regression (WQQR) and wavelet quantile regression (WQR), allowing exchange rate responses to vary across return distributions and short-, medium- and long-run horizons. Robustness checks are conducted to assess the consistency of the results across methodologies. Findings The results reveal pronounced heterogeneity in currency responses to global volatility shocks. Global financial volatility exerts asymmetric effects across quantiles and time scales, with high-beta currencies such as the Brazilian real, South African rand and Turkish lira exhibiting stronger sensitivity. These currencies experience heightened short-term pressures and more persistent long-run effects during periods of elevated global volatility, while lower-beta currencies display comparatively muted responses. Originality/value This study provides one of the first comprehensive frequency-quantile-based analyses of global volatility spillovers to BRICS-T currencies, offering novel insights for macroprudential policy design, reserve management strategies and exchange rate resilience in emerging markets.