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| Impact of the RMB Joining in the SDR Basket on Its Internationalization from the Perspective of Risk Spillover | |
| 作者姓名： | ZHANG Bingjie WANG Shouyang WEI Yunjie ZHAO Xueting |
| 作者单位： | School of Economics and Management;Academy of Mathematics and Systems Science;Center for Forecasting Science;Risk Management Department |
| 基金项目： | supported by the National Natural Science Foundation of China under Grant Nos.71801213 and 71642006。 |
| 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 |
Impact of the RMB Joining in the SDR Basket on Its Internationalization from the Perspective of Risk Spillover |
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| ZHANG Bingjie,WANG Shouyang,WEI Yunjie,ZHAO Xueting.Impact of the RMB Joining in the SDR Basket on Its Internationalization from the Perspective of Risk Spillover[J].Journal of Systems Science and Complexity,2021,34(1):339-350. | |
| Authors: | Zhang Bingjie Wang Shouyang Wei Yunjie Zhao Xueting |
| Institution: | 1.School of Economics and Management, Beihang University, Beijing, 100191, China ;2.Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing, 100190, China ;3.Center for Forecasting Science, Chinese Academy of Sciences, Beijing, 100190, China ;4.Risk Management Department, Postal Savings Bank of China Beijing Branch, Beijing, 100068, China ; |
| Abstract: | 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. |
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