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Discrete Dynamics in Nature and Society
Volume 2015, Article ID 641907, 9 pages
Research Article

Analysis of Linkage Effects among Currency Networks Using REER Data

College of Finance and Statistics, Hunan University, Changsha 410006, China

Received 8 February 2015; Revised 10 May 2015; Accepted 14 May 2015

Academic Editor: Peng Shi

Copyright © 2015 Haishu Qiao et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.


We modeled the currency networks through the use of REER (real effective exchange rate) instead of a bilateral exchange rate in order to overcome the confusion in selecting base currencies. Based on the MST (minimum spanning tree) approach and the rolling-window method, we constructed time-varying and correlation-based networks with which we investigate the linkage effects among different currencies. In particular, and as the source of empirical data, we chose the monthly REER data for a set of 61 major currencies during the period from 1994 to 2014. The study demonstrated that obvious linkage effects existed among currency networks and the euro (EUR) was confirmed as the predominant world currency. Additionally, we used the rolling-window method to investigate the stability of linkage effects, doing so by calculating the mean correlations and mean distances as well as the normalized tree length and degrees of those currencies. The results showed that financial crises during the study period had a great effect on the currency network’s topology structure and led to more clustered currency networks. Our results suggested that it is more appropriate to estimate the linkage effects among currency networks through the use of REER data.