Input Risk Measurement and International Influence Assessment of RMB Exchange Rate Market from the Perspective of Tail Risk Spillover Network
At present,China's financial system continues to be subject to increasingly severe external shocks,and external imported risks have gradually become an important source of risk in China's financial market.From the per-spective of tail risk spillover network,this paper constructs a high-dimensional dynamic correlation network of tail risk in the global foreign exchange market with the help of TENET method,measures the level of input risk in the RMB ex-change rate market,and analyzes the dynamic evolution law of input risk from the level of regional heterogeneity.This paper also assesses the international influence of the RMB and explores the dynamic evolutionary characteristics of the RMB's risk contagion role in the process of RMB internationalization.The results show that:first,the risk contagion effect in the global foreign exchange market during the tail event was significantly intensified,and the linkage effect of foreign exchange risk in the same region and the same type of economy was particularly obvious;second,developed economies and economies with floating exchange rate regimes are the source of imported risk in the RMB exchange rate market,and economies that are geographically adjacent to China or have close economic and trade ties with China will also bring certain imported risk;third,overall,the international influence of the RMB exchange rate market is limit-ed,but along with the internationalization of the RMB and the advancement of exchange rate market-oriented reforms,the influence of the RMB on the currencies of emerging economies and economies with floating exchange rate regimes has become more and more significant.
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