亚太经合组织货币汇率之间的相互关联性和回报溢出效应：时频分析

IF 6.3 2区经济学 Q1 BUSINESS, FINANCE

Research in International Business and Finance Pub Date : 2024-09-11 DOI:10.1016/j.ribaf.2024.102572

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引用次数: 0

摘要

本研究结合 TVP-VAR 模型（时域关联性）和基于 TVP-VAR 的 Baruník 和 Křehlík 模型（频域关联性），分析了 COVID-19 大流行、俄乌战争和硅谷银行（SVB）倒闭对亚太经济合作组织（APEC）论坛货币汇率的影响。研究结果表明，亚太经合组织货币具有时变效应（在短期和长期内都倾向于集中升值和贬值模式），在 COVID-19 期间（在时域内）产生的总回报溢出效应高于俄乌战争和硅谷银行倒闭事件。在 COVID-19 期间（87.18%）（总回报溢出），影响比俄罗斯-乌克兰危机（79.49%）和硅谷银行倒闭（75.55%）更为严重。此外，在时域上，韩元、泰铢和澳元被确定为一致的冲击传播者，马来西亚林吉特、菲律宾比索、印尼盾和人民币被确定为一致的冲击接受者。这些发现对金融监管机构和投资者具有重大影响。

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Interconnectedness and return spillover among APEC currency exchange rates: A time-frequency analysis

By combining TVP-VAR Model (time domain connectedness) and TVP-VAR based Baruník and Křehlík model (frequency domain connectedness), this study analyzes the impact of the COVID-19 pandemic, the Russia-Ukraine war, and the Silicon Valley Bank (SVB) collapse on the Asia Pacific Economic Cooperation (APEC) forum currency exchange rates. The results reveal that APEC currencies have time-varying effects (tend to cluster in appreciation and depreciation patterns in both the short and long term) and have generated higher total return spillover during COVID-19 (in the time domain) than the Russia-Ukraine war and SVB collapse. During COVID-19 (87.18 %) (total return spillover), impacts were more severe than the Russia-Ukraine crisis (79.49 %) and the Silicon Valley Bank collapse (75.55 %). Moreover, the South Korean won, Thai Bhat and Australian Dollar are identified as consistent shock transmitters, and Malaysian Ringgit, Philippine peso, Indonesian Rupiah, and Chinese Yuan as consistent shock receivers in the time domain. The findings have substantial repercussions for financial regulators and investors.

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来源期刊

Research in International Business and Finance BUSINESS, FINANCE-

CiteScore

11.20

自引率

9.20%

发文量

240

期刊介绍： Research in International Business and Finance (RIBAF) seeks to consolidate its position as a premier scholarly vehicle of academic finance. The Journal publishes high quality, insightful, well-written papers that explore current and new issues in international finance. Papers that foster dialogue, innovation, and intellectual risk-taking in financial studies; as well as shed light on the interaction between finance and broader societal concerns are particularly appreciated. The Journal welcomes submissions that seek to expand the boundaries of academic finance and otherwise challenge the discipline. Papers studying finance using a variety of methodologies; as well as interdisciplinary studies will be considered for publication. Papers that examine topical issues using extensive international data sets are welcome. Single-country studies can also be considered for publication provided that they develop novel methodological and theoretical approaches or fall within the Journal''s priority themes. It is especially important that single-country studies communicate to the reader why the particular chosen country is especially relevant to the issue being investigated. [...] The scope of topics that are most interesting to RIBAF readers include the following: -Financial markets and institutions -Financial practices and sustainability -The impact of national culture on finance -The impact of formal and informal institutions on finance -Privatizations, public financing, and nonprofit issues in finance -Interdisciplinary financial studies -Finance and international development -International financial crises and regulation -Financialization studies -International financial integration and architecture -Behavioral aspects in finance -Consumer finance -Methodologies and conceptualization issues related to finance