Economic and political effects on currency clustering dynamics

Kremer, Marcel; Becker, Alexander P.; Vodenska, Irena; Stanley, H. Eugene; Schäfer, Rudi

doi:10.1080/14697688.2018.1532101

Cited by 7 publications

(2 citation statements)

References 26 publications

(19 reference statements)

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“…For instance, the key theory of exchange rates, the Purchasing Power Parity, relies on numeraire invariance, i.e., different numeraires should yield same conclusions. However, a growing body of literature negates the empirical validity of this property in foreign exchange markets [13,14,15]. In spite of these observations, the exact implications created by substituting the numeraire for another asset are yet to be determined.…”

Section: Introductionmentioning

confidence: 99%

Correlation patterns in foreign exchange markets

Basnarkov

Stojkoski

Utkovski

et al. 2019

Physica A: Statistical Mechanics and its Applications

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The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationships between different assets, one requires convenient measures such as the means and covariances of the respective log returns. Here, we develop transformation equations for these means and covariances when one changes the numeraire. The results are verified by a thorough empirical analysis capturing the dynamics of numerous assets in a foreign exchange market. We show that the partial correlations between pairs of assets are invariant under the change of the numeraire. This observable quantifies the relationship between two assets, while the influence of the rest is removed. As such the partial correlations uncover intriguing observations which may not be easily noticed in the ordinary correlation analysis.

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Section: Introductionmentioning

confidence: 99%

Correlation patterns in foreign exchange markets

Basnarkov

Stojkoski

Utkovski

et al. 2019

Physica A: Statistical Mechanics and its Applications

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“…They find that the overall effect of oil demand and supply shocks on the trade balance of oil importers (and exporters) depends critically on the response of the non-oil trade balance (Kilian, 2009). Countries' energy trade relationships are significant in analyzing trade network patterns (Zhao and Chen, 2014;Kremer et al, 2019;Mealy et al, 2019). A national energy trade network would affect a country's GDP and its centrality on international trade significantly (Xi et al, 2019).…”

Section: Introductionmentioning

confidence: 99%

Stability Analysis of the World Energy Trade Structure by Multiscale Embedding

Xue

Chen

et al. 2021

Front. Energy Res.

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This study investigates the dynamic trading network structure of the international crude oil and gas market from year 2012 to 2017. We employed the dynamical similarity analysis at different time scales by inducing a multiscale embedding for dimensionality reduction. This analysis quantifies the effect of a global event on the dependencies and correlation stability at both the country and world level, which covers the top 53 countries. The response of China’s trading structure toward events after the unexpected 2014 price drop is compared with other major traders. China, as the world’s largest importing country, lacks strong stability under global events and could be greatly affected by a supply shortage, especially in the gas market. The trend of multi-polarization on the market share gives a chance for China to construct closer relationships with more stable exporters and join in the trade loop of major countries to improve its position in the energy trading networks. The hidden features of trade correlation may provide a deeper understanding of the robustness of relationship and risk resistance.

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