全球汇率市场风险传染测度、来源追溯与人民币汇率市场输入性风险分解

Global Exchange Rate Market Risk Contagion Measurement,Source Tracing and RMB Exchange Rate Market Imported Risk Decomposition

本文基于全球主要经济体汇率市场收益率与波动率的日度数据,运用弹性网收缩技术与广义误差分解方法,构建全球汇率市场高维网络,测度汇率风险传染效应,刻画在极端事件期间,汇率市场网络结构与节点风险溢出效应的波动特征,探究经济发展水平与地理分布因素,对于人民币汇率市场输入性风险的作用机制。研究发现:(1)在极端事件期间,全球汇率市场收益率与波动率网络的总体连通指数出现剧烈波动,波动率网络节点分布具备“高度聚类”特征。(2)在极端事件期间,全球汇率市场波动率网络总体连通指数大幅提高,同时,在新冠肺炎疫情时期,汇率市场的风险输出能力与所在经济体疫情的严重程度呈正相关关系,美元是全球汇率风险传染的源头市场。(3)在新冠肺炎疫情时期,人民币汇率市场净输入性风险远高于其他时期,发达经济体对于人民币汇率市场的输入性风险要高于发展中经济体,亚洲、欧洲以及北美洲经济体是人民币汇率市场输入性风险的主要源头。

Based on the daily data of exchange rate market return and volatility,this paper uses the elastic net shrinkage technology and generalized error decomposition method to construct high-dimensional network of the global exchange rate market,and measures the exchange rate risk contagion effect.This paper also depicts the fluctuation characteristics of the exchange rate market network structure and the node risk spillover effects during the extreme events,and explores the mechanism of economic development level and geographical distribution factors on the imported risk of RMB exchange rate market.The research finds:first,during the extreme events,the overall connectivity index of the global exchange rate market return and the volatility network fluctuates sharply,and the node distribution of the volatility network has a significant“high clustering”feature.Second,during extreme events,the overall connectivity index of the global exchange rate market volatility network increases significantly.Meanwhile,during the COVID-19,there is a positive correlation between the risk export capacity of the exchange market and the severity of the epidemic.The US dollar is the source of global exchange rate risk contagion.Finally,during the COVID-19,the net import risk of RMB exchange rate market is much higher than other periods.Moreover,the imported risk from developed economies to RMB exchange rate market is higher than that of developing economies.Asia,Europe and North America economies are the main sources of the RMB exchange rate market imported risk.