Summary:
With the deepening of global economic and financial integration, the risk correlation between currency exchange rates in the international forex market has become increasingly close. At the same time, major emergencies such as sino-US trade frictions, the Russia-Ukraine conflict, and the Palestinian-Israeli conflict have occurred frequently, resulting in the prominent problem of event-driven exchange rate risk. In this context, how to better grasp the structural change and evolution dynamics of risk spillover in the international forex market based on the complex risk correlation between different currencies has become an important topic for national strategic needs. From the perspective of a correlation network, this paper constructs the risk correlation network composed of 20 currencies of main economies and examines the structural changes and evolution dynamics of exchange rate risk spillover in the international forex market. The main findings are summarized as follows. After the “8·11” reform of the exchange rate system, the market influence of RMB has increased significantly, and its exchange rate pricing has become more autonomous. In the context that the gravity center of global economy and trade gradually shifts from the Euro-American region to the Asia-Pacific region, the exchange rate risk spillover shows corresponding structural adjustment of “rising in the east and falling in the west”. After the occurrence of major emergencies, the spillover effect of the whole market shows a fluctuating upward trend, and it has remained at a high level in recent years. Further analysis implies that economic fundamentals, financial development level and currency confidence are important factors that drive the structural change of exchange rate risk spillover in the international forex market, and their influences vary at different times and during different risk events. Major emergencies can significantly enhance the spillover effect at the market-wide level in the short term and have a greater impact when the interest rate of the US dollar rises, the Fed expands its balance sheet, and the market risk aversion is high. At the currency group level, there are some heterogeneities in the dynamic impact of major emergencies on the spillover effect. The findings have important policy implications. First, in the process of deepening the reform of exchange rate marketization and the opening up of the capital market, it is necessary to identify, trace, and mitigate the risk exposure caused by the spillover of exchange rate risks in the international forex market and build a solid internal and external firewall. Second, in the context that global political and economic uncertainty increases and the risk spillover of exchange rate in the international forex market is high, the technical tools and policy space for exchange rate risk management in China should be further expanded. Third, combined with the impact characteristics of major emergencies on the risk spillover of exchange rate, the assessment, early warning, and response mechanism of event-driven imported exchange rate risk is supposed to be optimized. Fourth, it's necessary to enhance the market influence of RMB and promote the internationalization of RMB steadily proceeding from improving economic fundamentals, financial development level and currency confidence. This study contributes to the literature in several ways. First, based on the perspective of structural changes, this paper examines the dynamic characteristics of exchange rate risk spillover in the international forex market and systematically analyzes the driving factors of structural change as well as their influencing characteristics, which further expands the research horizon and depth of related fields. Secondly, this paper introduces the local projection model to quantitatively evaluate the continuous influence of major emergencies on the risk spillover of exchange rate and discusses the heterogeneity of continuous influence at the level of international financial state and currency group, which is helpful for the assessment and early warning of event-driven exchange rate risk. Thirdly, on the one hand, this study improves the grasp and understanding of the important nature of exchange rate risk spillover, and on the other hand, it also provides a useful reference for policy formulation to monitor and prevent imported exchange rate risk and promote the internationalization of RMB in an orderly manner.
陈学彬, 李鑫. 关联网络视角下的国际外汇市场汇率风险溢出研究[J]. 金融研究, 2024, 530(8): 20-38.
CHEN Xuebin, LI Xin. Research on the Risk Spillover of Exchange Rate in the International Forex Market from the Perspective of Correlation Network. Journal of Financial Research, 2024, 530(8): 20-38.
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