相关论文: World currency exchange rate cross-correlations

Accurate exchange rate prediction is fundamental to financial stability and international trade, positioning it as a critical focus in economic and financial research. Traditional forecasting models often falter when addressing the inherent…

We draw on the data collected by the Integrated Crisis Early Warning System on millions of international and regional public news stories, and this system's indicators of the orientation toward a specific nation-state. We construct the…

This paper discusses the dynamics of intraday prices of twelve cryptocurrencies during last months' boom and bust. The importance of this study lies on the extended coverage of the cryptoworld, accounting for more than 90\% of the total…

During his state visit to China in April 2023, Brazilian President Lula proposed the creation of a trade currency supported by the BRICS countries. Using the United Nations Comtrade database, providing the frame of the world trade network…

Two formulations are proposed to filter out correlations in the residuals of the multivariate GARCH model. The first approach is to estimate the correlation matrix as a parameter and transform any joint distribution to have an arbitrary…

In the age of globalization, it is natural that the stock market of each country is not independent form the other markets. In this case, collective behavior could be emerged form their dependency together. This article studies the…

International food trade is a growing complement to gaps in domestic food supply and demand, but it is vulnerable to disruptions due to some unforeseen shocks. This paper assembles the international crop trade networks using maize, rice,…

This paper employs a weighted network approach to study the empirical properties of the web of trade relationships among world countries, and its evolution over time. We show that most countries are characterized by weak trade links; yet,…

We present a simplistic model of the competition between different currencies. Each individual is free to choose the currency that minimizes his transaction costs, which arise whenever his exchanging relations have chosen a different…

People and companies move money with every financial transaction they make. We aim to understand how such activity gives rise to large-scale patterns of monetary flow. In this work, we trace the movement of e-money through the accounts of a…

To investigate the universal structure of interactions in financial dynamics, we analyze the cross-correlation matrix C of price returns of the Chinese stock market, in comparison with those of the American and Indian stock markets. As an…

Using data from world stock exchange indices prior to and during periods of global financial crises, clusters and networks of indices are built for different thresholds and diverse periods of time, so that it is then possible to analyze how…

Analyzing real data on international trade covering the time interval 1950-2000, we show that in each year over the analyzed period the network is a typical representative of the ensemble of maximally random weighted networks, whose…

This research studies the relation between money and prices and its practical implications analyzing quarterly data from United States (1959-2022), Canada (1961-2022), United Kingdom (1986-2022), and Brazil (1996-2022). The historical,…

I examine global recessions as a cascade phenomenon. In other words, how recessions arising in one or more countries might percolate across a network of connected economies. A heterogeneous agent based model is set up in which the agents…

We discuss price variations distributions in foreign exchange markets, characterizing them both in calendar and business time frameworks. The price dynamics is found to be the result of two distinct processes, a multi-variance diffusion and…

Bangladesh has experienced two distinct exchange rate regimes: a fixed exchange rate system from January 1972 to May 2003 and a floating one since June 2003. After adopting the floating exchange rate regime, Bangladesh positively impacted…

Foreign Exchange (Forex) is the largest financial market in the world. The daily trading volume of the Forex market is much higher than that of stock and futures markets. Therefore, it is of great significance for investors to establish a…

This paper examines how shocks to currency volatilities predict exchange rates. Using option-implied volatilities, we construct a dynamic, directed network of volatility connections. Currencies that transmit more volatility shocks, which…

Exchange of resources among individual components of a system is fundamental to systems like a social network of humans and a network of cities and villages. For various reasons, the human society has come up with the notion of money as a…