外汇市场风险传染的效应测度与影响机制研究  

Effects Measure and Influence Mechanism Study of Foreign Exchange Markets Risk Contagion

作　　者：余海华 Yu Hai-hua

机构地区：[1]闽南师范大学数学与统计学院,漳州363000

出　　处：《亚太经济》2023年第6期27-37,共11页Asia-Pacific Economic Review

基　　金：福建省自然科学基金面上项目“国际外汇市场关联及其风险传染效应研究”(2022J01893);福建省社会科学基金项目“国际外汇市场关联效应研究”(FJ2021BF011)。

摘　　要：基于2006—2018年全球44种主要货币相关性,运用复杂网络方法和面板分位数回归模型解析外汇市场关联的风险传染效应与影响机制。研究发现:外汇市场之间存在显著的风险传染效应,外汇市场风险传染的溢出效应和吸收效应具有非对称性,各外汇市场在网络中聚集形成了四种不同类型板块,各板块内部成员之间及板块之间也存在不同的风险传染溢出效应,外汇市场风险可以通过贸易渠道和地缘联系发生传染;人民币外汇市场主要与SDR篮子货币外汇市场、新兴市场国家和中东石油大国的外汇市场发生风险传染;汇率制度选择和资本账户开放对外汇市场风险传染具有显著的重要影响,降低汇率制度弹性和扩大资本账户开放可以减少外汇市场风险传染。Based on the correlation of 44 major currencies in the world from 2006 to 2018,the complex network method and panel quantile regression model are analyzed the risk contagion effect and impact mechanism of foreign exchange market correlation.It is found that there is a significant risk contagion effects between foreign exchange markets,the spillover effects and absorption effects of risk contagion are asymmetrical,each foreign exchange market has gathered in the network to form four different types of blocks,there are also different risk contagion spillover effects among members of each block and between blocks,moreover,foreign exchange market risk can be transmitted through trade channels and geographical connections.RMB foreign exchange market mainly has cross-border risk contagion with SDR basket currencies'foreign exchange market,currencies of emerging market countries and major oil countries'foreign exchange market in the Middle East.The exchange rate regime choosing and capital account opening play an important role in the foreign exchange market risk contagion.Reducing the flexibility of the exchange rate regime and expanding the degree of the capital account opening can significantly decrease the foreign exchange market risk contagion.

关 键 词：外汇市场风险传染 溢出效应测度 汇率制度选择 资本账户开放 

分 类 号：F831[经济管理—金融学]