权重签名网络揭示了美国外汇汇率之间的相互作用
Leixin Yang1, Haiying Wang1, Changgui Gu1
1Business School, University of Shanghai for Science and Technology, Shanghai 200093, China.
Entropy (Basel, Switzerland)
|February 23, 2024
概括
汇率相关性揭示了全球金融转变. 随着全球连接的增长,积极的联系增长,而负面的相关性变得罕见,简化了三十年来波动模式.
科学领域:
- 经济学 经济学 经济学
- 网络科学 网络科学
- 金融市场 金融市场
背景情况:
- 汇率相关性是国际贸易和国家金融动态的关键指标.
- 了解这些相关性对于分析全球经济相互作用至关重要.
研究的目的:
- 分析美国外汇市场内部不断变化的互动.
- 识别货币相关性的变化模式及其对全球金融的影响.
主要方法:
- 确定交叉相关性分析 (DCCA) 用于量化相关性.
- 时间尺度参数的优化,以便进行可靠的比较.
- 构建加权签名网络以可视化关系.
- 网络中心性分析和波动传播算法.
主要成果:
- 在过去的30年里,负交叉相关性显著下降.
- 积极的交叉相关性在数量和强度上有所增加,反映出更大的全球互联互通.
- 欧洲仍然是一个金融中心,欧元和丹麦克朗显示稳定的关系;自2010年以来,与亚洲的新兴联系被注意到.
- 随着时间的推移,汇率网络中的波动传播模式变得更加简单和可预测.
结论:
- 该研究提供了一种新的方法,用于使用DCCA和网络分析分析汇率动态.
- 调查结果表明,全球外汇市场正面相互依赖性增加的趋势.
- 该研究提供了对国际金融和货币相互作用不断变化的结构的见解.
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