国际外汇市场关联网络测度与驱动影响分析
Analysis on the correlation network measurement and driving effects of international foreign exchange market
余海华1
作者信息
- 1. 闽南师范大学数学与统计学院,福建 漳州 363000
- 折叠
摘要
基于货币的相关性,首先采用复杂网络法构建和解析了国际外汇市场关联网络及其结构特征,而后采用二次分配过程(QAP)分析法实证检验了驱动国际外汇市场关联的主要影响因素.研究发现:国际外汇市场关联呈现出复杂网络结构特征,各货币在关联网络中被聚集为四个不同板块,并呈现出不同的地位、作用和角色,彼此直接关联或通过经纪人和双向溢出板块间接传递关联,而且这种关联具有区域化特征;美元、新兴国家及亚洲石油大国的货币以发出关系为主,它们相对处于网络中心,人民币主要与全球金融中心国家、中东石油国家、新兴市场国家的货币发生关联聚集;各经济体在国际贸易、股市波动、利率和货币政策等存在显著差异性,促进资本流、资金流和信息流等"流体资源"跨境流动,从而驱动国际外汇市场关联的形成.
Abstract
Based on the correlation of currencies,the complex network analysis method is firstly used to construct and analyze the international foreign exchange market correlation network and its structural characteristics,and then the quadratic assignment procedure(QAP)analysis method is ap-plied to empirically test the main influencing factors driving the international foreign exchange mar-ket correlation.It is found that the correlation of the international foreign exchange market presents the characteristics of complex network structure.Each currency is clustered into four different plates in the correlation network,and presents different positions,functions and roles.They can be directly related to each other or indirectly related through brokers and two-way spillover plates,and this cor-relation has the characteristic of regionalization:The US dollar,the currencies of emerging countries and Asian oil major countries are mainly issued,which are relatively in the center of the network.RMB is mainly related to the currencies of international financial center countries,Middle East oil countries,emerging market countries and countries with similar geographical proximity:.There are significant differences among economies in international trade,stock market volatility,interest rates and monetary policy,which promote the cross-border flow of"fluid resources"such as capital flow,capital flow and information flow,thus driving the formation of international foreign exchange mar-ket correlations.
关键词
外汇市场/关联关系/影响因素/复杂网络模型/二次分配过程(QAP)分析Key words
foreign exchange markets/correlation relationships/impact factors/complex network model/quadratic assignment procedure(QAP)analysis引用本文复制引用
基金项目
福建省社会科学基金项目(FJ2021BF011)
福建省自然科学基金项目(2022J01893)
出版年
2024
NETL
NSTL
万方数据