波动溢出视角下亚洲主要经济体汇率风险的传染效应及其溯源研究

The Contagion Effect of Exchange Rate Risk in Major Asian Economies and Its Traceability from the Perspective of Volatility Spillover

在重大事件频发与美联储持续加息的背景下,世界汇率市场频繁震荡影响着金融市场的稳定发展。基于汇率稳定在全球经济中的基石作用,探讨美联储不同加息周期里亚洲主要经济体货币汇率的波动,通过构建LASSO-VAR模型从波动溢出的角度对不同时间维度下亚洲主要经济体汇率市场汇率的波动风险传染进行研究,结果表明:从静态角度看,亚洲汇率市场中的波动率风险溢出网络呈现“高度聚类”和“地域邻近”的特点,主要经济体间的货币汇率波动存在一定的联系;从动态角度来说,美联储的加息会加剧亚洲汇率风险的跨区域传染,量化宽松政策则会缓和汇率风险传染;整体上来说人民币依然作为风险的溢入方,而风险传染的源头主要是来自发达经济体货币汇率的波动,如韩元、新加坡元、新西兰元等。

In the context of frequent major events and continued interest rate hikes by the Federal Reserve,frequent fluctuations in the world exchange rate market affect the stable development of the financial market.Based on the cornerstone role of exchange rate stability in the global economy,this paper explores the currency exchange rate fluctuations of major Asian economies in different rate hike cycles of the Federal Reserve.A LASSO-VAR model is constructed to study the volatility risk conta-gion of the exchange rate market of major Asian economies in different time dimensions from the per-spective of volatility spillover.The results show that from the static point of view,the volatility risk spillover network in the Asian exchange rate market presents the characteristics of“high clustering”and“geographical proximity,”with a certain correlation between currency exchange rate movements among major economies;from a dynamic point of view,the Fed′s interest rate hike will intensify the cross-regional exchange rate risk contagion in Asia,while its quantitative easing policy will ease the exchange rate risk contagion;on the whole,RMB is still a risk importer,and the source of risk con-tagion is mainly the exchange rate fluctuations of developed economies,including the Korean won,Singapore dollar,and New Zealand dollar.