Analysis of Linkage Effects among Currency Networks Using REER Data
Joint Authors
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2015, Issue 2015 (31 Dec. 2015), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2015-05-21
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
We modeled the currency networks through the use of REER (real effective exchange rate) instead of a bilateral exchange rate in order to overcome the confusion in selecting base currencies.
Based on the MST (minimum spanning tree) approach and the rolling-window method, we constructed time-varying and correlation-based networks with which we investigate the linkage effects among different currencies.
In particular, and as the source of empirical data, we chose the monthly REER data for a set of 61 major currencies during the period from 1994 to 2014.
The study demonstrated that obvious linkage effects existed among currency networks and the euro (EUR) was confirmed as the predominant world currency.
Additionally, we used the rolling-window method to investigate the stability of linkage effects, doing so by calculating the mean correlations and mean distances as well as the normalized tree length and degrees of those currencies.
The results showed that financial crises during the study period had a great effect on the currency network’s topology structure and led to more clustered currency networks.
Our results suggested that it is more appropriate to estimate the linkage effects among currency networks through the use of REER data.
American Psychological Association (APA)
Qiao, Haishu& Li, Ying& Xia, Yue. 2015. Analysis of Linkage Effects among Currency Networks Using REER Data. Discrete Dynamics in Nature and Society،Vol. 2015, no. 2015, pp.1-9.
https://search.emarefa.net/detail/BIM-1060711
Modern Language Association (MLA)
Qiao, Haishu…[et al.]. Analysis of Linkage Effects among Currency Networks Using REER Data. Discrete Dynamics in Nature and Society No. 2015 (2015), pp.1-9.
https://search.emarefa.net/detail/BIM-1060711
American Medical Association (AMA)
Qiao, Haishu& Li, Ying& Xia, Yue. Analysis of Linkage Effects among Currency Networks Using REER Data. Discrete Dynamics in Nature and Society. 2015. Vol. 2015, no. 2015, pp.1-9.
https://search.emarefa.net/detail/BIM-1060711
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1060711