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

Jianxuan Li, Yingying Shi and Cao Guangxi

Physica A: Statistical Mechanics and its Applications, 2018, vol. 509, issue C, 1140-1151

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.

Keywords: Belt and road; Complex network; DCCA coefficient; Factional analysis (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.physa.2018.06.059

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