Dedollarisation in the BRICS+ currency bloc: a market-based analysis of return and volatility connectedness

This paper examines whether the BRICS+ dedollarisation agenda is reflected in market-based FX shock transmission. Using daily OHLC data for 2015–2025, we construct overnight and intraday log-returns and Yang–Zhang realised volatility for BRICS+ currencies (, , , , , , , , ) and benchmarks (, , ), all expressed against the IMF numeraire. The numeraire is operationalised via the / exchange rate, and each currency is represented as a cross-rate against . We estimate a forgetting-factor TVP-VAR and use generalized FEVDs to derive dynamic total, directional, net, and net pairwise connectedness. The FX system is highly integrated: connectedness is very high overnight (average TCI ≈ 89% ), remains substantial intraday (average TCI ≈ 77% ), and is elevated in realised volatility (average TCI ≈ 82.5% ), indicating strong common global risk transmission. Spillover leadership is not purely -centric: and Gulf hubs (, ) appear as persistent net transmitters, while several BRICS+ currencies (notably , , ) remain predominantly net receivers, implying partial and uneven market-based dedollarisation. Policy implications follow. First, sequencing matters: durable dedollarisation requires deep local spot or derivatives markets and regional liquidity, clearing and collateral capacity before scaling local-currency settlement. Second, persistent volatility receivers should be prioritised with credibility and market-microstructure reforms to reduce imported risk. Third, the emerging multi-hub structure supports building settlement corridors and hedging markets around and regional hubs to strengthen non- price discovery and risk transfer.