文献类型：期刊文献

英文题名：Currency co-movement and network correlation structure of foreign exchange market

作者：Mai, Yong[1];Chen, Huan[1];Zou, Jun-Zhong[2];Li, Sai-Ping[3]

机构：[1]East China Univ Sci & Technol, Sch Business, 130 Meilong Rd, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Sch Informat Sci & Engn, Box 579,130 Meilong Rd, Shanghai 200237, Peoples R China;[3]Acad Sinica, Inst Phys, Taipei 11529, Taiwan

年份：2018

卷号：492

起止页码：65

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

收录：;EI(收录号：20174404317456);WOS:【SCI-EXPANDED(收录号:WOS:000423495100008)】；

基金：The authors are grateful to National Social Science Foundation of China for providing research funding (Project No. 14BJY177).

语种：英文

外文关键词：Exchange rate; Complex network; Currency Co-movement

摘要：We study the correlations of exchange rate volatility in the global foreign exchange(FX) market based on complex network graphs. Correlation matrices (CM) and the theoretical information flow method (Infomap) are employed to analyze the modular structure of the global foreign exchange network. The analysis demonstrates that there exist currency modules in the network, which is consistent with the geographical nature of currencies. The European and the East Asian currency modules in the FX network are most significant. We introduce a measure of the impact of individual currency based on its partial correlations with other currencies. We further incorporate an impact elimination method to filter out the impact of core nodes and construct subnetworks after the removal of these core nodes. The result reveals that (i) the US Dollar has prominent global influence on the FX market while the Euro has great impact on European currencies; (ii) the East Asian currency module is more strongly correlated than the European currency module. The strong correlation is a result of the strong co-movement of currencies in the region. The co-movement of currencies is further used to study the formation of international monetary bloc and the result is in good agreement with the consideration based on international trade. (C) 2017 Elsevier B.V. All rights reserved.