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The Feature of the B&R Exchange Rate: Comparison with Main Currency Based on EMD Algorithm and Grey Relational Degrees

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Data Science (ICDS 2019)

Part of the book series: Communications in Computer and Information Science ((CCIS,volume 1179))

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Abstract

According to BELT AND ROAD PORTAL, China has signed 173 cooperative documents with 125 countries and 29 international organizations along the Belt and Road (B&R) until April 2019, and the exchange rate volatility of currencies in the B&R are usually higher. In this paper, we firstly constructed the B&R exchange rate index on the basis of both the trade volumes and the foreign investment situation. After that, we compared it with the RMB exchange rate index. First, the EMD algorithm was used to decompose each index respectively into 8 IMFs and residual signal. Afterwards, based on grey comprehensive relational degrees, we reconstructed the market fluctuation term and noise term of each exchange rate index, and also get the trend term which is the residual signal. Then, we used comparative analysis to discuss and explain the features and relationship of exchange rate risk of RMB between the B&R and against main currencies, and found that in the long term, there was more devaluation risk of the currencies and regions along the B&R; in the middle term, there was a lead-lag relationship between the two indexes, and the B&R exchange rate index is going to decline; in the short term, the exchange risk in the countries and regions along the B&R is greater than the worldwide RMB exchange rate risk. Finally, we put forward several relevant suggestions to help going-out enterprises to avoid and manage exchange rate risks effectively.

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Notes

  1. 1.

    Huang (1998).

  2. 2.

    Deng J.L.: Introduction to grey system theory. Journal of Grey System 1(1), 1–24 (1989).

  3. 3.

    Mei Z.: The Concept and Computation Method of Grey Absolute Correlation Degree. Systems Engineering, 5, 43–44 (1992). (in Chinese)

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Acknowledge

This work is supported by the National Natural Science Foundation of China No. 71501175, the University of Chinese Academy of Sciences, and the Open Project of Key Laboratory of Big Data Mining and Knowledge Management, Chinese Academy of Sciences.

Author information

Authors and Affiliations

  1. University of Chinese Academy of Sciences, Beijing, China

    Cui Yixi & Guo Kun

  2. Key Laboratory of Big Data Mining and Knowledge Management, School of Economics and Management, UCAS, Beijing, China

    Cui Yixi & Guo Kun

  3. Minzu University of China, Beijing, China

    Liu Zixin

  4. CFFEX Institute for Financial Derivatives, Beijing, China

    Li Ziran

Authors
  1. Cui Yixi
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  2. Liu Zixin
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  3. Li Ziran
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  4. Guo Kun
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Corresponding author

Correspondence to Guo Kun .

Editor information

Editors and Affiliations

  1. Swinburne University of Technology, Melbourne, VIC, Australia

    Jing He

  2. University of Illinois at Chicago, Chicago, USA

    Philip S. Yu

  3. College of Information Science and Technology, University of Nebraska at Omaha, Omaha, NE, USA

    Yong Shi

  4. Research Institute of Extenics and Innovation Methods, Guangdong University of Technology, Guangzhou, China

    Xingsen Li

  5. Ningbo University, Ningbo, China

    Zhijun Xie

  6. Deakin University, Burwood, VIC, Australia

    Guangyan Huang

  7. Department of Computer Science and Technology, Nanjing University of Science and Technology, Nanjing, China

    Jie Cao

  8. Nanjing University of Posts and Telecommunications, Nanjing, China

    Fu Xiao

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Yixi, C., Zixin, L., Ziran, L., Kun, G. (2020). The Feature of the B&R Exchange Rate: Comparison with Main Currency Based on EMD Algorithm and Grey Relational Degrees. In: He, J., et al. Data Science. ICDS 2019. Communications in Computer and Information Science, vol 1179. Springer, Singapore. https://doi.org/10.1007/978-981-15-2810-1_39

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  • DOI: https://doi.org/10.1007/978-981-15-2810-1_39

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  • Publisher Name: Springer, Singapore

  • Print ISBN: 978-981-15-2809-5

  • Online ISBN: 978-981-15-2810-1

  • eBook Packages: Computer ScienceComputer Science (R0)

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