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The Relationship Structure of Global Exchange Rate Based on Network Analysis
Sun Yat-sen Business School, Sun Yat-sen University, Guangzhou, China
Sun Yat-sen Business School, Sun Yat-sen University, Guangzhou, China
Sun Yat-sen Business School, Sun Yat-sen University, Guangzhou, China
Sun Yat-sen Business School, Sun Yat-sen University, Guangzhou, China
- 1 Sun Yat-sen Business School, Sun Yat-sen University, Guangzhou, China
- 2 Sun Yat-sen Business School, Sun Yat-sen University, Guangzhou, China
- 3 Sun Yat-sen Business School, Sun Yat-sen University, Guangzhou, China
- 4 Sun Yat-sen Business School, Sun Yat-sen University, Guangzhou, China
Journal of Mathematical Finance·Volume 10 (2019)·Pages 58–76·Published 12 December 2019·DOI10.4236/jmf.2020.101006
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Abstract
The optimal threshold strategy is put forward for establishing a suitable network for analyzing the correlation among the different exchange rates. The 33 currencies of the world’s major countries and regions are analyzed by the method of network analysis, and the multilateral exchange rate correlation network is established based on the optimal threshold. Combining with geographical features and the exchange rate regime, it is found that the international currency has obvious community structure, which is composed of three levels: the core currency area, the arbitrage currency area and the shadow currency area. The conclusion reveals the structural characteristics of the Jamaica international monetary system.
KeywordsExchange-Rate RelationshipsCorrelation NetworksComplex NetworksGeopolitical Features
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