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Analysis of Linkage Effects among Currency Networks Using REER Data

机译:使用REER数据分析货币网络之间的链接效应

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摘要

We modeled the currency networks through the use of REER (real effective exchange rate) instead of a bilateral exchange rate in order to overcome the confusion in selecting base currencies. Based on the MST (minimum spanning tree) approach and the rolling-window method, we constructed time-varying and correlation-based networks with which we investigate the linkage effects among different currencies. In particular, and as the source of empirical data, we chose the monthly REER data for a set of 61 major currencies during the period from 1994 to 2014. The study demonstrated that obvious linkage effects existed among currency networks and the euro (EUR) was confirmed as the predominant world currency. Additionally, we used the rolling-window method to investigate the stability of linkage effects, doing so by calculating the mean correlations and mean distances as well as the normalized tree length and degrees of those currencies. The results showed that financial crises during the study period had a great effect on the currency network's topology structure and led to more clustered currency networks. Our results suggested that it is more appropriate to estimate the linkage effects among currency networks through the use of REER data.
机译:我们通过使用REER(实际有效汇率)而不是双边汇率来对货币网络建模,以克服选择基础货币时的困惑。基于最小生成树(MST)方法和滚动窗口方法,我们构建了基于时变和相关的网络,用于研究不同货币之间的联系效应。特别是作为经验数据的来源,我们选择了1994年至2014年期间一组61种主要货币的每月REER数据。研究表明,货币网络之间存在明显的联系效应,而欧元(EUR)被确认为世界主要货币。此外,我们使用滚动窗口方法来研究联动效应的稳定性,方法是计算这些货币的均值相关性和均值距离以及标准化的树长和度数。结果表明,研究期间的金融危机对货币网络的拓扑结构有很大影响,并导致了更多的集群货币网络。我们的结果表明,通过使用REER数据估算货币网络之间的链接效应更为合适。

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