Dynamic Co-Movement Among Exchange Rate Volatility, Energy Commodities, and Stock Indices: A Multiple Wavelet Approach

This study employed a different type of wavelet approach to investigate the dynamic interdependence among exchange rate volatility, stock indices, and energy commodity markets. Using daily data covering the period from 2005 to October 2025 on energy commodities, stock index, and foreign exchange rates of selected BRICS economies. We include both crude oil and Brent oil, along with natural gas, aiming to capture not only the time–frequency interconnectedness among these assets but also to gain deeper insights into cross-commodity correlations across various energy sectors, thereby clarifying whether economic shocks in these markets are localized or globalized. Assessing data volatility, it can be observed that exchange rates and stock indexes tend to be less volatile than oil markets. The coherence zone indicates that foreign currency significantly influences the interdependence between the Bovespa and Brent oil prices. While rising oil prices can generate inflationary pressures, for an oil-exporting nation like Brazil, the favorable impacts on exports and the trade balance often led to an appreciation of the Brazilian Real (BRL) against the US dollar.