英文标题：
《Time-Varying Comovement of Foreign Exchange Markets》
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作者：
Mikio Ito, Akihiko Noda, Tatsuma Wada
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最新提交年份：
2016
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英文摘要：
A time-varying cointegration model for foreign exchange rates is presented. Unlike previous studies, we allow the loading matrix in the vector error correction (VEC) model to be varying over time. Because the loading matrix in the VEC model is associated with the speed at which deviations from the long-run relationship disappear, we propose a new degree of market comovement\\ based on the time-varying loading matrix to measure the strength or robustness of the long-run relationship over time. Since exchange rates are determined by macrovariables, cointegration among exchange rates implies those macroeconomic variables share common stochastic trends. Therefore, the proposed degree measures the degree of market comovement. Our main finding is that the market comovement has become stronger over the past quarter century, but the rate at which market comovement strengthens is decreasing with two major turning points: one in 1995 and the other one in 2008.
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中文摘要：
本文提出了一个外汇汇率的时变协整模型。与之前的研究不同，我们允许向量误差校正（VEC）模型中的加载矩阵随时间变化。由于VEC模型中的负荷矩阵与长期关系偏差消失的速度相关，因此我们基于时变负荷矩阵提出了一种新的市场协同运动程度，以衡量长期关系随时间变化的强度或稳健性。由于汇率是由宏观变量决定的，汇率之间的协整意味着这些宏观变量具有共同的随机趋势。因此，建议的程度衡量市场协同运动的程度。我们的主要发现是，在过去的25年中，市场协同运动变得更强，但市场协同运动增强的速度正在下降，出现了两个主要转折点：一个是1995年，另一个是2008年。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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