Related papers: World currency exchange rate cross-correlations
In this paper we aim to improve existing empirical exchange rate models by accounting for uncertainty with respect to the underlying structural representation. Within a flexible Bayesian non-linear time series framework, our modeling…
This paper models yearly exchange rates between USD/KZT, EUR/KZT and SGD/KZT, and compares the actual data with developed forecasts using time series analysis over the period from 2006 to 2014. The official yearly data of National Bank of…
We develop a model where currency issuers provide liquidity, while users in a trade network choose currency usage for trade settlement. We identify a feedback mechanism where a user's currency preference spillovers to others and increases…
Contagion is an extremely important topic in finance. Contagion is at the core of most major financial crises, in particular the 2008 financial crisis. Although various approaches to quantifying contagion have been proposed, many of them…
This paper studies the dynamic market linkages among cryptocurrencies during August 2015 - July 2020 and finds a substantial increase in market linkages for both returns and volatilities. We use different methodologies to check the…
Bitcoins have emerged as a possible competitor to usual currencies, but other crypto-currencies have likewise appeared as competitors to the Bitcoin currency. The expanding market of crypto-currencies now involves capital equivalent to…
Option written on several foreign exchange rates (FXRs) depends on correlation between the rates. To evaluate the option, historical estimates for correlations can be used but usually they are not stable. More significantly, pricing of the…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
We propose a useful approach for investigating the statistical properties of foreign currency exchange rates. Our approach is based on queueing theory, particularly, the so-called renewal-reward theorem. For the first passage processes of…
In this note we study the bilateral merchandise trade flows between 186 countries over the 1948-2005 period using data from the International Monetary Fund. We use Pajek to identify network structure and behavior across thresholds and over…
We use bank-level balance sheet data from 2005 to 2010 to study interactions within the banking system of five emerging countries: Argentina, Brazil, Mexico, South Africa, and Taiwan. For each country we construct a financial network based…
The emerging system at the European level can be conceptualized as a pattern of relations among member states that tends to be reproduced despite disturbances in individual trajectories. The Markov property is used as an indicator of…
The complexity and ambiguity of financial and economic systems, along with frequent changes in the economic environment, have made it difficult to make precise predictions that are supported by theory-consistent explanations. Interpreting…
Community currency networks are made up of individuals and or companies that share some physical or social characteristics and engage in economic transactions using a virtual currency. This paper investigates the structural and dynamic…
The aim of this paper is to dig deeper into understanding the exchange rates and uncertainty dependence. Using the novel Baker et al. (2020)'s daily Twitter Uncertainty Index and BRICS exchange rates, we investigate their extreme tail…
This study considers the multivariate segmentation procedure under the assumption of the multivariate Gaussian mixture. Jensen-Shannon divergence between two multivariate Gaussian distributions is employed as a discriminator and a recursive…
Many real-world networks have broad degree distributions. For some systems, this means that the functional significance of the vertices is also broadly distributed, in other cases the vertices are equally significant, but in different ways.…
In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and…
Cross-border migration brings economic and cultural impacts to the origin and destination, and is also a key to reflect the international relations of related countries. In fact, the migration relationships of countries are complex and…
The possibility to analyze everyday monetary transactions is limited by the scarcity of available data, as this kind of information is usually considered highly sensitive. Present econophysics models are usually employed on presumed random…