人民币兑其他四种主要货币汇率的多标度交叉相关性研究

Multiscale Cross-correlations of Exchange Rates Between CNY and Four Other Major Currencies

外汇市场中各汇率之间的相关性一直受到学术界的热切关注。通过多标度消除趋势波动分析和多标度消除趋势交叉相关性分析,对人民币兑其他四种主要货币汇率的多标度自相关性和交叉相关性进行了研究。发现人民币兑美元汇率的自相关性较强,人民币兑韩元汇率的自相关性较弱。以人民币作为基础货币,人民币兑美元和人民币兑欧元汇率的交叉相关性较强,人民币兑美元和人民币兑日元的交叉相关性较弱。

The correlation of exchange rates in the foreign exchange market has been paid fervent attention by the academic circles. The multiscale auto-correlation and cross-correlation between CNY and four other major currencies are investigated through multiscale detrended fluctuation analysis（MSDFA） and multiscale detrended cross-correlation analysis （MSDCCA）. It is found that the auto-correlation of exchange rate between CNY and USD is strong and the auto-correlation of exchange rate between CNY and KRW is weak. Setting CNY as the base currency, the cross-correlation of CNY-USD ＆CNY-EUR is strong and the cross-correlation of CNY-USD ＆ CNY-JPY is weak.