相关论文: World currency exchange rate cross-correlations

Intuitively, the default risk of a single borrower is higher when her or his assets and debt are denominated in different currencies. Additionally, the default dependence of borrowers with assets and debt in different currencies should be…

On Jan. 1, 1999 the European Union introduced a common currency Euro ($EUR$), to become the legal currency in all eleven countries which form the $EUR$. In order to test the $EUR$ behavior and understand various features, the $EUR$ exchange…

We follow up on the study of correlations between GDP's of rich countries. We analyze web-downloaded data on GDP that we use as individual wealth signatures of the country economical state. We calculate the yearly fluctuations of the GDP.…

A large part of the workforce, and growing every day, is originally from India. India one of the second largest populations in the world, they have a lot to offer in terms of jobs. The sheer number of IT workers makes them a formidable…

The time dependence of the currency exchange rate K treated as a function of national dividend, investments and difference between total demand for a goods and supply is considered. To do this a proposed earlier general algorithm of…

This paper investigates and compares currency substitution between the currencies of Central and Eastern European (CEE) countries and the euro. In addition, we develop a model with microeconomic foundations, which identifies difference…

The foreign exchange market has taken an important role in the global financial market. While foreign exchange trading brings high-yield opportunities to investors, it also brings certain risks. Since the establishment of the foreign…

Since 2008, the network analysis of financial systems is one of the most important subjects in economics. In this paper, we have used the complexity approach and Random Matrix Theory (RMT) for analyzing the global banking network. By…

The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationships between different assets, one requires convenient…

The increasing use of cryptoassets for international remittances has proven to be faster and more cost-effective, particularly for migrants without access to traditional banking. However, the inherent volatility of cryptoasset prices,…

The financial crisis of 2007/08 caused catastrophic consequences and brought a bunch of changes around the world. Interest rates that were known to follow or behave similarly of each other diverged. Furthermore, the regulation and in…

This paper uses two hierarchical techniques, a minimal spanning tree and an ultrametric hierarchical tree, to extract a topological influence map for major currencies from the ultrametric distance matrix for 1996-2001. We find that these…

We extend the opinion formation approach to probe the world influence of economical organizations. Our opinion formation model mimics a battle between currencies within the international trade network. Based on the United Nations Comtrade…

We analyze tick data of yen-dollar exchange with a focus on its up and down movement. We show that there exists a rather particular conditional probability structure with such high frequency data. This result provides us with evidence to…

We study the impact of exchange rate volatility on cost efficiency and market structure in a cross-section of banks that have non-trivial exposures to foreign currency (FX) operations. We use unique data on quarterly revaluations of FX…

Financial empirical correlation matrices of all the companies which both, the Deutsche Aktienindex (DAX) and the Dow Jones comprised during the time period 1990-1999 are studied using a time window of a limited, either 30 or 60, number of…

Economy correlations between the 19 richest countries are investigated through their Gross Domestic Product increments. A distance is defined between increment correlation matrix elements and their evolution studied as a function of time…

In a universe with a single currency, there would be no foreign exchange market, no foreign exchange rates, and no foreign exchange. Over the past twenty-five years, the way the market has performed those tasks has changed enormously. The…

We study the dynamics of the linear and non-linear serial dependencies in financial time series in a rolling window framework. In particular, we focus on the detection of episodes of statistically significant two- and three-point…

GDP/capita correlations are investigated in various time windows (TW), for the time interval 1990-2005. The target group of countries is the set of 25 EU members, 15 till 2004 plus the 10 countries which joined EU later on. The TW-means of…