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

Xue Jiang, Sai-Ping Li, Yong Mai and Tao Tian

Finance Research Letters, 2022, vol. 47, issue PA

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.

Keywords: Currency co-movement; Exchange rate stable area; Network game; Currency issue revenue (search for similar items in EconPapers)
JEL-codes: C73 D85 F31 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005407

DOI: 10.1016/j.frl.2021.102601

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