文献类型：期刊文献

英文题名：The evolutionary synchronization of the exchange rate system in ASEAN+6

作者：Feng, Xiaobing[1,2];Hu, Haibo[3];Wang, Xiaofan[2]

机构：[1]Coll Finance, Shanghai Inst Foreign, Shanghai 201620, Peoples R China;[2]Shanghai Jiao Tong Univ, Dept Automat, Complex Networks & Control Lab, Shanghai 200240, Peoples R China;[3]E China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China

年份：2010

卷号：389

期号：24

起止页码：5785

外文期刊名：PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS

收录：;EI(收录号：20104313333785);WOS:【SCI-EXPANDED(收录号:WOS:000284392400028)】；

基金：This project is financed by the Shanghai Education Committee Major Subject Development Program in Finance (J51201) and Research Innovation Project of Education Committee (2009AASH0904); the Major State Basic Research Development Program of China (973 Program) (No. 2010CB731400). The authors would like to thank Professor D. Lake, J. Richman and J. Moorman for valuable advice. We also thank the anonymous reviewers for constructive remarks and suggestions which have helped us to improve the quality of the manuscript.

语种：英文

外文关键词：Correlation matrix; Cross sample entropy; Cross entropy; Random matrix theory; Exchange rate synchronization

摘要：Although there are extensive researches on the behavior of the world currency network, the complexity of the Asian regional currency system is not well understood regardless of its importance. Using daily exchange rates this paper examines exchange rate co-movements in the region before and after the China exchange rate reform. It was found that the correlation between Asian currencies and the US Dollar, the previous regional key currency has become weaker and intra-Asia interactions have increased. Cross sample entropy and cross entropy approaches are also applied to examine the synchrony behavior among the Asian currencies. The study also shows that the Asian exchange rate markets featured are neither stochastic nor efficient. These findings may shed some light on the in-depth understanding of collective behaviors in a regional currency network: they will also lay a theoretical foundation for further policy formulation in Asian currency integration. (c) 2010 Elsevier B.V. All rights reserved.