全球外汇市场的系统性风险：衡量和决定因素

IF 3.3 2区经济学 Q2 BUSINESS, FINANCE

Journal of International Money and Finance Pub Date : 2025-09-23 DOI:10.1016/j.jimonfin.2025.103435

Yanting Jiang , Juan Lin , Yanghan Chen

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引用次数: 0

摘要

本文使用动态倾斜-t因子联结模型对2015年至2024年36种货币的全球外汇市场系统性风险进行了研究。我们记录了系统性风险的显著时间变化，在重大全球中断期间出现明显的峰值。汇率制度显著影响货币脆弱性，与固定汇率制度相比，浮动汇率制度和中间汇率制度能更好地防范系统性风险。我们发现全球经济一体化与货币脆弱性之间存在倒u型关系：在达到临界阈值之前，最初的贸易和外国直接投资一体化会增加脆弱性，超过临界阈值后，进一步的一体化会降低脆弱性。这些发现对日益相互关联的外汇市场的系统性风险管理具有重要意义。

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Systemic risk in global FX markets: Measurement and determinants

This paper examines systemic risk in global foreign exchange (FX) markets using a dynamic skew-

t

factor copula model for 36 currencies from 2015 to 2024. We document significant time variation in systemic risk with pronounced spikes during major global disruptions. Exchange rate regimes significantly influence currency vulnerability, with floating and intermediate regimes providing better insulation against systemic risk than fixed regimes. We identify an inverted U-shaped relationship between global economic integration and currency vulnerability: initial trade and FDI integration increases vulnerability until reaching critical thresholds, beyond which deeper integration reduces vulnerability. These findings have important implications for systemic risk management in increasingly interconnected FX markets.

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来源期刊

Journal of International Money and Finance BUSINESS, FINANCE-

CiteScore

4.20

自引率

4.00%

发文量

141

期刊介绍： Since its launch in 1982, Journal of International Money and Finance has built up a solid reputation as a high quality scholarly journal devoted to theoretical and empirical research in the fields of international monetary economics, international finance, and the rapidly developing overlap area between the two. Researchers in these areas, and financial market professionals too, pay attention to the articles that the journal publishes. Authors published in the journal are in the forefront of scholarly research on exchange rate behaviour, foreign exchange options, international capital markets, international monetary and fiscal policy, international transmission and related questions.