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Topology structure based on detrended cross-correlation coefficient of exchange rate network of the belt and road countries

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  • Li, Jianxuan
  • Shi, Yingying
  • Cao, Guangxi

Abstract

The Belt and Road initiative has been gaining attention internationally since its proposal. This study applies complex network theory to the Belt and Road countries’ exchange rate markets by constructing a correlation network for these markets using the detrended cross-correlation coefficient (DCCA cross-correlation coefficient). Results show that the Belt and Road countries’ exchange rate network (BREN)11Hereinafter referred to as BREN.exhibits a small-world effect and robustness. The network is divided into three clusters by factional analysis. The three clusters correspond to three regions: West Asia, Central Asia and Europe, and Southeast Asia. The cohesion subgroup density between Central Asia and Europe and West Asia is high, and the inter-correlation of the Central Asia and Europe is strong. Moreover, the CNY’s position in the BREN has been significantly improved since the policy was proposed.

Suggested Citation

  • Li, Jianxuan & Shi, Yingying & Cao, Guangxi, 2018. "Topology structure based on detrended cross-correlation coefficient of exchange rate network of the belt and road countries," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 509(C), pages 1140-1151.
    • Handle: RePEc:eee:phsmap:v:509:y:2018:i:c:p:1140-1151
    DOI: 10.1016/j.physa.2018.06.059
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    4. Wen, Tiange & Wang, Gang-Jin, 2020. "Volatility connectedness in global foreign exchange markets," Journal of Multinational Financial Management, Elsevier, vol. 54(C).

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