發(fā)布時(shí)間：2018-03-19 19:07

  本文選題：復(fù)雜網(wǎng)絡(luò)　切入點(diǎn)：匯率　出處：《廣西大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著世界經(jīng)濟(jì)一體化的推進(jìn),國(guó)際競(jìng)爭(zhēng)與資本流動(dòng)日趨激烈、頻繁,金融市場(chǎng)不確定性多,呈現(xiàn)復(fù)雜的波動(dòng)趨勢(shì)。匯率市場(chǎng)作為重要的金融市場(chǎng),影響國(guó)際收支,對(duì)于匯率波動(dòng)規(guī)律的研究,有助于幫助貨幣當(dāng)局及時(shí)應(yīng)對(duì)匯率市場(chǎng)的波動(dòng)變化。由于匯率受到利率、通貨膨脹等諸多因素影響,匯率波動(dòng)發(fā)生及其演化行為表現(xiàn)出復(fù)雜系統(tǒng)的特點(diǎn),傳統(tǒng)國(guó)際金融理論、匯率決定理論對(duì)于匯率市場(chǎng)波動(dòng)性的解釋越來(lái)越難。匯率市場(chǎng)網(wǎng)絡(luò)連接復(fù)雜,各個(gè)國(guó)家構(gòu)成的貨幣節(jié)點(diǎn)豐富,以匯率波動(dòng)相關(guān)性形成的匯率網(wǎng)絡(luò)波動(dòng)變化復(fù)雜,具有典型的復(fù)雜網(wǎng)絡(luò)形式,分析匯率市場(chǎng)網(wǎng)絡(luò)擁有何種拓?fù)湫再|(zhì)及變化規(guī)律,為研究匯率市場(chǎng)波動(dòng)情況提供了新的途徑。學(xué)界一直將復(fù)雜網(wǎng)絡(luò)的研究方法應(yīng)用在股票市場(chǎng)與股票指數(shù)上,對(duì)于匯率市場(chǎng)構(gòu)成的關(guān)聯(lián)網(wǎng)絡(luò)的研究還在起步階段,相關(guān)研究成果少。本文根據(jù)復(fù)雜網(wǎng)絡(luò)理論,利用整體網(wǎng)分析方法,選取2007年1月到2016年12月期間一共3128個(gè)交易日以美元標(biāo)價(jià)的52種貨幣數(shù)據(jù),計(jì)算貨幣間相關(guān)系數(shù),選取各年度相關(guān)系數(shù)均值作為建立匯率關(guān)聯(lián)網(wǎng)絡(luò)的閾值,采用閾值法構(gòu)建各年度全連無(wú)向無(wú)權(quán)網(wǎng)絡(luò)。分析匯率網(wǎng)絡(luò)的拓?fù)湫再|(zhì),探究匯率市場(chǎng)波動(dòng)的規(guī)律。本文通過(guò)UCINET6網(wǎng)絡(luò)分析軟件計(jì)算相關(guān)指標(biāo),發(fā)現(xiàn)匯率市場(chǎng)關(guān)聯(lián)網(wǎng)絡(luò)具有較短的平均路徑長(zhǎng)度,十年間最短路徑長(zhǎng)度是1和2時(shí)包含了幾乎90%的情形,聚類系數(shù)高,徘徊在0.8上下,以此驗(yàn)證匯率網(wǎng)絡(luò)存在小世界效應(yīng)。分析匯率網(wǎng)絡(luò)中各節(jié)點(diǎn)度中心性,對(duì)貨幣進(jìn)行權(quán)力性分析,對(duì)匯率網(wǎng)絡(luò)內(nèi)的節(jié)點(diǎn)進(jìn)行重要性排序,最后,針對(duì)推進(jìn)人民幣國(guó)際化進(jìn)程提出相關(guān)建議。
[Abstract]:With the development of world economic integration, international competition and capital flow are becoming more and more intense and frequent, and the financial market is uncertain, showing complex fluctuation trend. As an important financial market, the exchange rate market affects the balance of payments. The study of the law of exchange rate fluctuation is helpful to help monetary authorities cope with the fluctuation of exchange rate market in time. Because the exchange rate is affected by many factors such as interest rate, inflation and so on, The occurrence and evolution of exchange rate fluctuations show the characteristics of complex systems. The traditional international financial theory and exchange rate determination theory are more and more difficult to explain the volatility of exchange rate market. Each country has abundant currency nodes, and the exchange rate network formed by the correlation of exchange rate fluctuations is complex and has a typical complex network form. This paper analyzes the topological nature and variation law of the exchange rate market network. It provides a new way to study the fluctuation of exchange rate market. The research method of complex network has been applied to stock market and stock index in academic circles, and the research on the related network of exchange rate market is still in its infancy. According to the theory of complex network and using the method of whole network analysis, this paper selects 52 kinds of currency data, which are marked in US dollars for a total of 3128 trading days from January 2007 to December 2016, and calculates the correlation coefficient between currencies. This paper selects the annual correlation coefficient mean as the threshold to establish the exchange rate correlation network, and uses the threshold method to construct the undirected undirected network in each year. The topological properties of the exchange rate network are analyzed. In this paper, it is found that the correlation network of exchange rate market has a short average path length, and the shortest path length in ten years is 1 and 2:00, which includes almost 90%, through the calculation of related indexes by UCINET6 network analysis software. The clustering coefficient is high, hovering around 0.8, which verifies the existence of small-world effect in the exchange rate network. This paper analyzes the centrality of each node in the exchange rate network, analyzes the currency power, and sorts the importance of the nodes in the exchange rate network. To promote the internationalization of the RMB process to put forward relevant recommendations.
【學(xué)位授予單位】：廣西大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.6

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