The spillover effect of VIX and oil price on the exchange rate volatility among Belt and Road countries

被引：5
|
作者：
Geng, Xueqing [1 ,2 ]
Guo, Kun [1 ,2 ]
机构：
[1] Univ Chinese Acad Sci, Sch Econ & Management, Beijing 100190, Peoples R China
[2] Chinese Acad Sci, Res Ctr Ficticious Econ & Data Sci, Beijing 100190, Peoples R China
来源：
8TH INTERNATIONAL CONFERENCE ON INFORMATION TECHNOLOGY AND QUANTITATIVE MANAGEMENT (ITQM 2020 & 2021): DEVELOPING GLOBAL DIGITAL ECONOMY AFTER COVID-19 | 2022年 / 199卷
基金：
中国国家自然科学基金;
关键词：
Exchange rate; Belt and Road; Oil price; VIX; Vector Autoregress on model;
D O I：
10.1016/j.procs.2022.01.095
中图分类号：
TP [自动化技术、计算机技术];
学科分类号：
0812 ;
摘要：
For the Belt and Road countries, where the geopolitics is complex and the economic development is uneven, the exchange rate volatility is a quite important issue. Each Belt and Road country's exchange rate volatility is not only related to each other countries' exchange rate volatility, but also related to some other exogeneous variables. This paper mainly conduct research on the spillover effect of two exogeneous variables, VIX and oil price, on the exchange rate volatility among Belt and Road countries. The results suggest that VIX's spillover effect on the whole Belt and Road exchange rate volatility network changes differently after the launch of Belt and Road Initiative in the short and long term. Besides, the oil price's spillover effect on the exchange rate volatility alongside Belt and Road region shows different features for the oil export country and the oil import country. (C) 2021 The Authors. Published by Elsevier B.V.
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页码：765 / 772
页数：8
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