Impact of the RMB Joining in the SDR Basket on Its Internationalization from the Perspective of Risk Spillover

doi:10.1007/s11424-020-9215-8

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	Impact of the RMB Joining in the SDR Basket on Its Internationalization from the Perspective of Risk Spillover
	Zhang, Bingjie 1; Wang, Shouyang2 ; Wei, Yunjie2,3 ; Zhao, Xueting 4
	2020-08-04
发表期刊	JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
ISSN	1009-6124
页码	12
摘要	For evaluating the influence of the Chinese renminbi (RMB) joining in the special drawing right (SDR) basket on RMB's internationalization, the authors systemically study the risk spillover networks and examine the dynamic relationship of exchange rates among the SDR currencies including the US dollar (USD), European Union euro (EUR), Japanese yen (JPY) and British pound (GBP). The empirical results demonstrate that the USD takes a dominant position and holds the biggest risk spillover to other currencies, and the RMB's inclusion to the SDR basket makes the risk spillover to get average, giving rise to the SDR currency system more stable to a certain degree. The inclusion of the RMB in the SDR not only can reduce the systematic risk of the SDR, but also has a certain impact on the international exchange rate markets. Nowadays, in front of the growing trade friction, more such researches could help to effectively deal with the currency disputes.
关键词	Dynamic network risk spillover RMB internationalization SDR basket structural VAR
DOI	10.1007/s11424-020-9215-8
收录类别	SCI
语种	英语
资助项目	National Natural Science Foundation of China[71801213] ; National Natural Science Foundation of China[71642006]
WOS研究方向	Mathematics
WOS类目	Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000555391900015
出版者	SPRINGER HEIDELBERG
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/51928
专题	系统科学研究所
通讯作者	Wei, Yunjie
作者单位	1.Beihang Univ, Sch Econ & Management, Beijing 100191, Peoples R China 2.Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100190, Peoples R China 3.Chinese Acad Sci, Ctr Forecasting Sci, Beijing 100190, Peoples R China 4.Postal Savings Bank China Beijing Branch, Risk Management Dept, Beijing 100068, Peoples R China
推荐引用方式 GB/T 7714	Zhang, Bingjie,Wang, Shouyang,Wei, Yunjie,et al. Impact of the RMB Joining in the SDR Basket on Its Internationalization from the Perspective of Risk Spillover[J]. JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,2020:12.
APA	Zhang, Bingjie,Wang, Shouyang,Wei, Yunjie,&Zhao, Xueting.(2020).Impact of the RMB Joining in the SDR Basket on Its Internationalization from the Perspective of Risk Spillover.JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY,12.
MLA	Zhang, Bingjie,et al."Impact of the RMB Joining in the SDR Basket on Its Internationalization from the Perspective of Risk Spillover".JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY (2020):12.