关联网络视角下的国际外汇市场汇率风险溢出研究  

Research on the Risk Spillover of Exchange Rate in the International Forex Market from the Perspective of Correlation Network

作　　者：陈学彬[1] 李鑫 CHEN Xuebin;LI Xin(School of Economics,Sichuan University)

机构地区：[1]四川大学经济学院,四川成都610065

出　　处：《金融研究》2024年第8期20-38,共19页Journal of Financial Research

基　　金：国家自然科学基金面上项目(72371178)的资助。

摘　　要：本文构建包含20种主要经济体货币的汇率风险溢出网络,在此基础上考察国际外汇市场汇率风险溢出的结构变迁和演进动态。研究发现,“8·11”汇率制度改革后,人民币在汇率风险溢出网络中的影响力持续提高,汇率定价已具备较强自主性;在全球经贸重心由欧美地区逐步转向亚太地区的背景下,汇率风险溢出相应呈现出“东升西降”的结构性调整;全市场溢出效应(国际外汇市场货币汇率风险溢出整体水平)近年来维持高位运行,且在重大突发事件发生后呈现波动上升趋势。分析表明,经济基本面、金融发展水平以及货币信心均是驱动国际外汇市场汇率风险溢出结构变迁的重要因素,且各驱动因素的影响力度在不同时间段以及风险事件期间呈现差异化特征;重大突发事件在短期内对全市场溢出效应具有显著正向的持续影响,且该影响在美元加息、美联储扩表以及市场避险情绪较高时相对更大;在欧美地区、亚太地区和其他地区等三个货币群组,重大突发事件对于溢出效应的持续影响存在差异。With the deepening of global economic and financial integration,the risk correlation between currency exchange rates in the international forex market has become increasingly close.At the same time,major emergencies such as sino-US trade frictions,the Russia-Ukraine conflict,and the Palestinian-Israeli conflict have occurred frequently,resulting in the prominent problem of event-driven exchange rate risk.In this context,how to better grasp the structural change and evolution dynamics of risk spillover in the international forex market based on the complex risk correlation between different currencies has become an important topic for national strategic needs.From the perspective of a correlation network,this paper constructs the risk correlation network composed of 20 currencies of main economies and examines the structural changes and evolution dynamics of exchange rate risk spillover in the international forex market.The main findings are summarized as follows.After the"8·11"reform of the exchange rate system,the market influence of RMB has increased significantly,and its exchange rate pricing has become more autonomous.In the context that the gravity center of global economy and trade gradually shifts from the Euro-American region to the Asia-Pacific region,the exchange rate risk spillover shows corresponding structural adjustment of"rising in the east and falling in the west".Affer the occurrence of major emergencies,the spllover effect of the whole market shows a fluctuating upward trend,and it has remained at a high level in recent years.Further analysis implies that economic fundamentals,financial development level and currency confidence are important factors that drive the structural change of exchange rate risk spillover in the international forex market,and their influences vary at different times and during dfferent risk events.Major emergencies can significantly enhance the spillover effect at the market-wide level in the short term and have a greater impact when the interest rate of the US dollar r

关 键 词：关联网络 汇率风险溢出 结构变迁 演进动态 重大突发事件持续影响 

分 类 号：F83[经济管理—金融学]