风险溢出过程中的关键市场识别、机制传导和极端冲击:20国集团外汇市场的实证研究。

IF 1.9 4区 经济学 Q2 ECONOMICS
Wei Zhou, Jin Guo, Ning Chen, Shuai Lu
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引用次数: 0

摘要

在2019冠状病毒病广泛蔓延和金融风险蔓延加剧的背景下,二十国集团在全球治理中的作用日益突出。检测二十国集团外汇市场的风险溢出对于保持金融稳定至关重要。因此,本文首先采用多尺度方法来衡量2000-2002年G20外汇市场之间的风险溢出。此外,在网络分析的基础上,对关键市场、传输机制和动态演化进行了研究。我们得出以下结论:(1)二十国集团国家总风险溢出指数的幅度和波动性与全球极端事件高度相关。(2) 在不同的极端全球事件中,G20国家之间风险溢出的幅度和波动性是不对称的。(3) 确定了风险溢出过程中的关键市场,美国在G20外汇风险溢出网络中始终占据核心地位。(4) 在核心集团中,风险溢出效应明显较高。在集团层级中,随着风险溢出效应向下传递,风险溢出呈现下降趋势。(5) 新冠肺炎期间G20风险溢出网络的密度、传播、互惠和聚集程度远高于其他时期。
本文章由计算机程序翻译,如有差异,请以英文原文为准。

Key market identification, mechanism transmission, and extreme shock during the risk spillover process: an empirical study of the G20 FOREX markets.

Key market identification, mechanism transmission, and extreme shock during the risk spillover process: an empirical study of the G20 FOREX markets.

Key market identification, mechanism transmission, and extreme shock during the risk spillover process: an empirical study of the G20 FOREX markets.

Key market identification, mechanism transmission, and extreme shock during the risk spillover process: an empirical study of the G20 FOREX markets.

The role of the G20 in global governance has been increasingly prominent in the context of the extensive spread of coronavirus disease 2019 and the aggravation of financial risk contagion. Detecting the risk spillovers among the G20 FOREX markets is crucial to maintain financial stability. Therefore, this paper first adopts a multi-scale approach to measure the risk spillovers among the G20 FOREX markets from 2000 to 2022. Furthermore, the key markets, the transmission mechanism, and the dynamic evolution are researched based on the network analysis. We derive the following findings: (1) The magnitude and volatility of the total risk spillover index of the G20 countries are highly associated with extreme global events. (2) The magnitude and volatility of risk spillovers among the G20 countries are asymmetric in the different extreme global events. (3) The key markets in the risk spillover process are identified, and the USA always occupies a core position in the G20 FOREX risk spillover networks. (4) In the core clique, the risk spillover effect is obviously high. In the clique hierarchy, as the risk spillover effect is transmitted downward, the risk spillovers present the decrease trends. (5) The density, transmission, reciprocity, and clustering degrees in the G20 risk spillover network during the COVID-19 period are much higher than that in other periods.

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来源期刊
CiteScore
4.40
自引率
0.00%
发文量
157
期刊介绍: Empirical Economics publishes high quality papers using econometric or statistical methods to fill the gap between economic theory and observed data. Papers explore such topics as estimation of established relationships between economic variables, testing of hypotheses derived from economic theory, treatment effect estimation, policy evaluation, simulation, forecasting, as well as econometric methods and measurement. Empirical Economics emphasizes the replicability of empirical results. Replication studies of important results in the literature - both positive and negative results - may be published as short papers in Empirical Economics. Authors of all accepted papers and replications are required to submit all data and codes prior to publication (for more details, see: Instructions for Authors).The journal follows a single blind review procedure. In order to ensure the high quality of the journal and an efficient editorial process, a substantial number of submissions that have very poor chances of receiving positive reviews are routinely rejected without sending the papers for review.Officially cited as: Empir Econ
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