کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5102605 | 1480087 | 2017 | 30 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Cross-correlations between RMB exchange rate and international commodity markets
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
فیزیک ریاضی
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Cross-correlations between RMB exchange rate and international commodity markets Cross-correlations between RMB exchange rate and international commodity markets](/preview/png/5102605.png)
چکیده انگلیسی
This paper employs multifractal detrended analysis (MF-DFA) and multifractal detrended cross-correlation analysis (MF-DCCA) to study cross-correlation behaviors between China's RMB exchange rate market and four international commodity markets, using a comprehensive set of data covering the period from 22 July 2005 to 15 March 2016. Our empirical results from MF-DFA indicate that the RMB exchange rate is the most inefficient among the 4 selected markets. The results from quantitative analysis have testified the existence of cross-correlations and the result from MF-DCCA have further confirmed a strong multifractal behavior between RMB exchange rate and international commodity markets. We also demonstrate that the recent financial crisis has significant impact on the cross-correlated behavior. Through the rolling window analysis, we find that the RMB exchange rates and international commodity prices are anti-persistent cross-correlated. The main sources of multifractality in the cross-correlations are long-range correlations between RMB exchange rate and the aggregate commodity, energy and metals index.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 486, 15 November 2017, Pages 168-182
Journal: Physica A: Statistical Mechanics and its Applications - Volume 486, 15 November 2017, Pages 168-182
نویسندگان
Xinsheng Lu, Jianfeng Li, Ying Zhou, Yubo Qian,