세계 외환시장 네트워크의 구조적 특징에 관한 실증연구

Empirical study on dynamics of network in foreign exchange rates

We investigate a dynamical property of 18 foreign exchange rates using the minimal spanning tree method and analyze the relationship between the extreme events as global financial crisis and the structure of network in the foreign exchange rates. First, we find that the return time series in the 18 foreign exchange rates deviated from the random walk process based on the linear statistics such as mean, variance, skewness, and kurtosis and observed the homogeneity according to the each continent. In addition, the global financial crisis including the Asian currency crisis and subprime crisis play an important role in terms of a common factor that influences the network formation. Especially, since 2011, closeness among the countries in Asian currency market remain still at the same level, whereas for global currency market it shows a decrease.