This study investigates the directional predictability of exchange rates in emerging markets. Using a cross-quantilogram model, we show that dependencies among emerging markets exchange rates are heterogeneous. Specifically, the Mexican peso, Brazilian real, and Turkish lira are leading emerging market currencies that provide hedging opportunities for currency investors. The structural dependencies across the pairs of exchange rates are evident at lag 1, and the relationships dissipate at longer lags. Secondly, the partial cross-quantilogram results indicate that oil is not a driving force of interrelationship among the exchange rates. Furthermore, the estimations of cross-quantile correlations from recursive subsamples reveal time-variant traits. If policymakers and financial regulators focus on comovements among emerging market currencies and distinguish net recipients from net transmitters in different environments, they can devise a surveillance system to adjust the market interdependence effects across emerging market foreign exchange rates. Therefore, they can promote the stability of emerging market currencies.

本研究调查新兴市场汇率的方向可预测性。使用交叉分位数模型，我们表明新兴市场汇率之间的依赖关系是异质的。具体而言，墨西哥比索、巴西雷亚尔和土耳其里拉是领先的新兴市场货币，为货币投资者提供了对冲机会。汇率对之间的结构依赖性在滞后 1 时很明显，而这种关系在滞后时间较长时消失。其次，部分交叉分位数结果表明，石油不是汇率相互关系的驱动力。此外，来自递归子样本的交叉分位数相关性的估计揭示了时变特征。如果政策制定者和金融监管机构关注新兴市场货币之间的联动，并在不同环境中区分净接受者和净发送者，他们可以设计一个监控系统来调整新兴市场外汇汇率之间的市场相互依存效应。因此，它们可以促进新兴市场货币的稳定。