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<p>This study investigates the multifractal dynamics and time-varying efficiency of BRICS exchange-rate markets over the period 2018 to 2024, and how these properties evolve across distinct global shock regimes—pre-COVID (01 January 2018 to 10 March 2020), COVID (11 March 2020 to 05 May 2023), and post-COVID (06 May 2023 to 31 December 2024). Unlike prior studies that focus on isolated crisis episodes, this paper jointly evaluates pandemic disruptions, the Russia–Ukraine conflict, global monetary tightening, and post-pandemic financial turbulence within a unified multifractal framework.&#xa0;Employing STL decomposition to isolate the stochastic component and MF-DFA to quantify multifractality, the results reveal strong nonlinear dependence in all currencies alongside pronounced cross-country and temporal variation. Russia exhibits the widest multifractal spectrum, indicating the highest inefficiency, while South Africa remains the most efficient. Multifractality rose sharply in China and India during the post-COVID period amid policy intervention and macro-financial pressures, while Brazil shows signs of efficiency restoration. Overall, extreme global shocks, including pandemic, conflicts, financial turbulence, and supply-chain disruption substantially weaken exchange-market efficiency, though the extent of impact differs across economies. These findings underscore the importance of incorporating time-varying nonlinear dynamics into exchange-rate modeling, strengthening macroprudential oversight, and enhancing policy transparency during periods of global stress.</p>

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Global shocks and exchange-rate multifractality: new evidence from BRICS

  • 期刊论文

  • 发表日期：

    2026年6月18日

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  • Madhur Bhatia

摘要

This study investigates the multifractal dynamics and time-varying efficiency of BRICS exchange-rate markets over the period 2018 to 2024, and how these properties evolve across distinct global shock regimes—pre-COVID (01 January 2018 to 10 March 2020), COVID (11 March 2020 to 05 May 2023), and post-COVID (06 May 2023 to 31 December 2024). Unlike prior studies that focus on isolated crisis episodes, this paper jointly evaluates pandemic disruptions, the Russia–Ukraine conflict, global monetary tightening, and post-pandemic financial turbulence within a unified multifractal framework. Employing STL decomposition to isolate the stochastic component and MF-DFA to quantify multifractality, the results reveal strong nonlinear dependence in all currencies alongside pronounced cross-country and temporal variation. Russia exhibits the widest multifractal spectrum, indicating the highest inefficiency, while South Africa remains the most efficient. Multifractality rose sharply in China and India during the post-COVID period amid policy intervention and macro-financial pressures, while Brazil shows signs of efficiency restoration. Overall, extreme global shocks, including pandemic, conflicts, financial turbulence, and supply-chain disruption substantially weaken exchange-market efficiency, though the extent of impact differs across economies. These findings underscore the importance of incorporating time-varying nonlinear dynamics into exchange-rate modeling, strengthening macroprudential oversight, and enhancing policy transparency during periods of global stress.