基于时间序列链图的全球汇率区域联动分析

Analysis of the Regional Linkage of Global Exchange Rate Based on Time Series Chain Graph

将时间序列链图模型应用于全球汇率联动网络,通过Lasso方法识别参数化的精度矩阵和自回归系数矩阵.选取了2009年1月1日至2020年3月21日的全球15种货币的每日汇率数据进行了研究分析,实证结果表明:美元处于主导地位,除自身外分别与人民币、日元、新加坡元、港币、韩元、阿根廷比索、荷兰盾连接;人民币和韩元在国际汇率市场也有一定话语权,人民币除自身外分别与美元、日元、新加坡元、港币、韩元、荷兰盾连接;根据有向连接可以发现,人民币与澳元、新加坡元、韩元存在双向联动效应.

In this paper,the time series chain graphic model is applied to investigate the network of the global exchange rate linkage,and the parameterized precision matrix and autoregressive coefficient matrix are calculated through the Lasso method.By studying the daily exchange rate data of 15 currencies in the world from January 1,2009 to March 21,2020,this paper finds that the US dollar is in a dominant position and is connected to the RMB,Japanese yen,Singapore dollar,Hong Kong dollar,South Korean won,Argentine peso,and Dutch guilder in addition to itself.In addition,the RMB and the Korean won also occupy strong positions in the international exchange rate market.The RMB is connected to the US dollar,Japanese yen,Singapore dollar,Hong Kong dollar,South Korean won,and Dutch guilder in addition to itself.According to the directed connection,it can be found that there is a two-way linkage effect between the RMB and the Australian dollar,Singapore dollar,and Korean won.