波动溢出网络视角下全球主要货币汇率风险传染研究

李  政1; 2; 王子美1; 张亚宁1

波动溢出网络视角下全球主要货币汇率风险传染研究

引用本文：李政1,2，王子美1，张亚宁1.波动溢出网络视角下全球主要货币汇率风险传染研究[J].财经理论与实践,2022,(4):2-7

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作者	单位
李政1,2，王子美1，张亚宁1	（1.天津财经大学金融学院，天津 300222；2.天津财经大学金融科技与风险管理实验室，天津 300222）

中文摘要:选取1999—2020年全球26种货币的汇率波动率数据，基于最新发展的Elastic-Net-VAR模型构建汇率波动溢出网络，考察全球主要货币的汇率风险溢出关系。研究发现：汇率风险总溢出水平经历了“稳步上升—震荡下降—急剧上升”三个阶段。汇率风险溢出网络具有同区域、同类型经济体聚集的特征，但国际金融危机等全球重大风险事件会加剧汇率风险的跨类型或跨区域传递。人民币的风险溢出对象主要为新兴经济体货币以及港币、韩元等亚洲发达经济体货币；国际金融危机后，人民币接受发达经济体货币的风险溢出明显增多。

中文关键词:汇率风险波动溢出网络关联性 Elastic-Net-VAR模型

A Study of Global Major Currency Exchange Rate Risk Contagion from the Volatility Spillover Network Perspective

Abstract:Selecting the exchange rate volatility data of 26 currencies around the world from 1999 to 2020 and based on the latest proposed Elastic-Net-VAR model, the exchange rate volatility spillover network is constructed to examine the relationship of exchange rate risk spillover of the global major currencies. The results show that, the level of global exchange rate risk spillover has gone through three stages of “steady rise- shock decline- sharp rise”. The global exchange rate risk spillover network is characterized by mutual aggregation of the same region and the same type of economies, but major global risk events such as the international financial crisis can intensify the cross-type or cross-regional transmission of exchange rate risk. The targets of risk spillover of RMB are mainly emerging economy currencies and Asian developed economy currencies such as Hong Kong dollar and Korean won. After the international financial crisis, the risk spillover of RMB receiving the developed economy currencies has increased significantly.

keywords:exchange rate risk volatility spillover network connectedness Elastic-Net-VAR model

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