“一带一路”沿线国家汇率风险溢出及其影响机制  

Exchange Rate Risk Spillovers and Its Impact Mechanism in Countries along the Belt and Road

作　　者：李延喜[1] 任艺 赵恒 Li Yanxi;Ren Yi;Zhao Heng

机构地区：[1]大连理工大学经济管理学院

出　　处：《财经科学》2023年第4期1-16,共16页Finance & Economics

基　　金：国家社会科学基金重大项目“‘一带一路’国家资金融通机制设计及资金配置效率评价体系研究”(18ZDA095);辽宁省社会科学规划基金重大委托项目“防范和化解外部环境重大风险研究”(L22ZD039)的资助。

摘　　要：本文通过构建汇率风险溢出网络刻画了“一带一路”国家汇率风险溢出关系,并结合网络结构特征探讨了汇率风险溢出的影响机制以及如何应对外部风险冲击。结果发现,“一带一路”倡议提出后,沿线国家整体汇率风险溢出水平提高,发达经济体在网络中扮演风险溢出角色,但新兴经济体和发展中国家的风险溢出水平有所上升,应警惕其成为我国外部风险的重要来源。进一步分析网络社群结构发现,“一带一路”倡议提出后,社群内部经济联系更加紧密,整体汇率风险溢出相应增加,而边际风险溢出相对降低;一国可通过加强与其他国家的经济联系,推动经济发展和区域合作,弱化外部风险冲击。本文为整体把握“一带一路”外汇市场格局、防范汇率风险传导提供了参考。This paper constructs the exchange rate risk spllover network to depict the exchange rate risk spillover relationship in countries along the Belt and Road,and discusses the impact mechanism and how to response to external risk shocks in combination with the characteristics of the network structure.The results show that after the Belt and Road Initiative was proposed,the overall exchange rate risk spillover increases.Developed economies play a major role in the exchange rate risk spillover network,but the risk spllover level of emerging economies and developing countries increases,which may become an important source of external risks in China.Further analysis of community structure reveals that economic connection within the currency community becomes closer after the Belt and Road Initiative was proposed,and the overall exchange rate risk spillovers increase correspondingly while the marginal risk spillovers are relatively reduced.Strengthening economic relationship among the countries along the Belt and Road can weaken risk transmission by promoting economic development and regional cooperation.This paper provides a reference for the overall grasp of foreign exchange markets and the prevention of exchange rate risk transmission.

关 键 词：“一带一路” 汇率风险溢出 网络结构 风险冲击应对 

分 类 号：F831.5[经济管理—金融学]