Risk and return spillovers among developed and emerging market currencies
该研究构建了一个网络模型，分析20种发达和新兴市场货币的收益与风险动态交互，发现发达市场货币在网络中更一体化，且两类市场间的溢出效应变化更快，受全球资本流动因素驱动。
We develop a network model capturing the dynamic interactions among foreign exchange (FX) returns and realized risk measures for 20 developed market (DM) and emerging market (EM) currencies. We show that DM currencies are more integrated within the network than EM currencies on average and tend to become more dependent on external conditions over time. Spillovers between DMs and EMs evolve more rapidly than spillovers within DMs and within EMs and are a major contributor to overall spillover dynamics. Auxiliary regressions reveal that the net DM-to-EM spillover comoves with global factors known to drive EM capital flows.