Spillover effects of RMB exchange rate among B&R countries: Before and during COVID-19 event

被引：45
|
作者：
Wei, Zhixi [1 ]
Luo, Yu [1 ]
Huang, Zili [2 ]
Guo, Kun [3 ,4 ,5 ]
机构：
[1] China Univ Polit Sci & Law, Business Sch, Beijing 102249, Peoples R China
[2] Dartmouth Coll, Geisel Sch Med, Hanover, NH 03755 USA
[3] Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
[4] Chinese Acad Sci, Key Lab Big Data Min & Knowledge Management, Beijing 100190, Peoples R China
[5] Chinese Acad Sci, Res Ctr Fictitious Econ & Data Sci, Beijing 100190, Peoples R China
来源：
FINANCE RESEARCH LETTERS | 2020年 / 37卷
基金：
中国国家自然科学基金;
关键词：
Spillover effect; Exchange rate; COVID-19; The Belt and Road; BELT; INTERNATIONALIZATION;
D O I：
10.1016/j.frl.2020.101782
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The proposal of "The Belt and Road" (The B&R) Initiative has promoted regional economic cooperation and financial integration. It is crucial to measure the volatility spillover effects among "The B&R" currency market. Results from the time-varying spillover model show that "The B&R" system spillover index reflects some sudden regional crises. Likewise, the spillover of RMB exchange rate is affected by internal financial reforms as well as external economic shocks. Further, the recent outbreak of the COVID-19 has disrupted this system and the influence of RMB.
引用
收藏
页数：9
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