期刊
DISCRETE DYNAMICS IN NATURE AND SOCIETY
卷 2014, 期 -, 页码 -出版社
HINDAWI LTD
DOI: 10.1155/2014/170921
关键词
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资金
- Fundamental Research Funds for the Central Universities of Hunan University
- Hunan Provincial Innovation Foundation for Postgraduate [CX2013A006]
- Ministry of Education of China
- National Natural Science Foundation of China [71373072]
- Specialized Research Fund for the Doctoral Program of Higher Education [20130161110031]
- China Postdoctoral Science Foundation [2013M530376]
- Foundation for Innovative Research Groups of the National Natural Science Foundation of China [71221001]
Based on a time-varying copula approach and the minimum spanning tree (MST) method, we propose a time-varying correlation network-based approach to investigate dynamics of foreign exchange (FX) networks. In piratical terms, we choose the daily FX rates of 42 major currencies in the international FX market during the period of 2005-2012 as the empirical data. The empirical results show that (i) the distributions of cross-correlation coefficients (distances) in the international FX market (network) are fat-tailed and negatively skewed; (ii) financial crises during the analyzed period have a great effect on the FX network's topology structure and lead to the US dollar becoming more centered in the MST; (iii) the topological measures of the FX network show a large fluctuation and display long-range correlations; (iv) the FX network has a long-term memory effect and presents a scale-free behavior in the most of time; and (v) a great majority of links between currencies in the international FX market survive from one time to the next, and multistep survive rates of FX networks drop sharply as the time increases.
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