세계 외환시장 네트워크의 구조적 특징에 관한 실증연구

• 영문명: Empirical study on dynamics of network in foreign exchange rates
• 발행기관: 한국무역연구원
• 저자명: 오갑진(GabJin Oh) 안석원(Seok-Won Ahn) 최종일(Jong-Il Choe)
• 간행물 정보: 『무역연구』제10권 제3호, 441~453쪽, 전체 12쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2014.06.30

영문 초록

We investigate a dynamical property of 18 foreign exchange rates using the minimal spanning tree method and analyze the relationship between the extreme events as global financial crisis and the structure of network in the foreign exchange rates. First, we find that the return time series in the 18 foreign exchange rates deviated from the random walk process based on the linear statistics such as mean, variance, skewness, and kurtosis and observed the homogeneity according to the each continent. In addition, the global financial crisis including the Asian currency crisis and subprime crisis play an important role in terms of a common factor that influences the network formation. Especially, since 2011, closeness among the countries in Asian currency market remain still at the same level, whereas for global currency market it shows a decrease.

목차

Abstract

Ⅰ. 서론

Ⅱ. 이론적 고찰

Ⅲ. 실증설계

Ⅳ. 실증결과

Ⅴ. 결론 및 시사점

참고문헌

키워드

minimul spanning tree crisis network