摘要
在开放经济下,金融波动具有很强的传染性和扩散性。表现在货币市场上,各国利率往往呈现出同方向运动的特征。把握利率波动时空关联的整体特性对准确预测和判断金融风险,防止金融危机的发生具有十分重要的意义。本文根据全球140多个国家和地区的实际利率数据,借助复杂网络方法,构建了全球利率波动关联网络。通过对网络拓扑量的时间演化特征分析,发现各国利率波动的关联强度呈现出明显的时间依赖性。相比于经济稳定发展时期,金融危机时期各国利率波动的关联性显著增强。结合网络社团搜索方法,考察了各大洲国家利率波动对全球利率波动的影响力差异,发现亚洲、欧洲和北美洲国家对国际利率市场影响力相对较大。
In an open economy, fluctuations in financial markets are easy to spread from one country to an- other. In relation to the monetary market, the interest rates of different currencies tend to exhibit synchronous movement. A thorough understanding ofspatio-temporal correlation of global interest rate fluctuations is a matter of great importance for predicting and preventing the occurrence of financial crisis. Depending upon complex network theory, we construct a volatility-based network to describe the correlation between the interest rates of different currencies. A stronger correlation is found during the financial crisis. Based on the community structure analysis, we investigate the impact of the countries in different continents on the global interest rate fluctuations. It is found that the countries in Asia, Europe and NorthAmerica have a relatively higher influence, of the application of the tourism.
作者
钟立新
许赵淼
徐文娟
ZHONG Li-xin XU Zhao-miao XU Wenojuan(School of Finance, Zhejiang University of Finance and Economics, Hangzhou 310018, Zhejiang, China School of Law, Zhejiang University of Finance and Economics, Hangzhou 310018, Zhejiang, China Zhejiang Yongli Industrial Group Co., Ltd, Shaoxing 312028, Zhejiang, China)
出处
《广义虚拟经济研究》
2016年第4期42-48,共7页
Research on the Generalized Virtual Economy
基金
广义虚拟经济研究专项资助项目[项目编号:GX2015-1004(M)]
国家自然科学基金(71371165
61503109)
浙江省社科联项目(2014N079)
关键词
广义虚拟经济
复杂网络
波动关联
空间集聚
generalized virtual economy, complex network, fluctuation correlation, spatial agglomeration
