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Study of multinational currency co-movement and exchange rate stability base on network game

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Listed:
  • Jiang, Xue
  • Li, Sai-Ping
  • Mai, Yong
  • Tian, Tao

Abstract

Complex network analysis of the correlation of exchange rate fluctuations shows that the co-movement of global exchange rate fluctuations is a small-world network. Through the income function of currency issuance and circulation, we build a two countries’ currency network model, and then extend it to multi-countries model, within the evolution network game simulation method. We find that multi-countries exchange rate co-movement gradually shapes an stabilize exchange rate co-movement region. The more random the currency co-movement relationship among multi-currency countries is, the easier it is to stabilize exchange rate co-movement relationships; and the higher the proportion of investment income to total income is, the easier it is to shape a multi-currency co-movement exchange rate stability relationship.

Suggested Citation

  • Jiang, Xue & Li, Sai-Ping & Mai, Yong & Tian, Tao, 2022. "Study of multinational currency co-movement and exchange rate stability base on network game," Finance Research Letters, Elsevier, vol. 47(PA).
    • Handle: RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005407
    DOI: 10.1016/j.frl.2021.102601
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    Cited by:

    1. Fang, Fang, 2023. "Corporate innovation and internationalization: Evidence from China," Finance Research Letters, Elsevier, vol. 56(C).
    2. Anwer, Zaheer & Khan, Ashraf & Kabir Hassan, M. & Rashid, Mamunur, 2022. "Does the regional proximity lead to exchange rate spillover?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 81(C).

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    More about this item

    Keywords

    Currency co-movement; Exchange rate stable area; Network game; Currency issue revenue;
    All these keywords.

    JEL classification:

    • C73 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Stochastic and Dynamic Games; Evolutionary Games
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • D85 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Network Formation

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