Construction And Stability Analysis For Extreme Risk Spillover Network For Foreign Exchange Markets In The Post Financial Crisis Period

At present,the international financial market has formed a network structure that "affects the whole body",and the cross-regional contagion of financial risks is more obvious.As an important financial submarket,the foreign exchange market is also a major source of risk.In the post-financial crisis period,extreme events broke out many times around the world,which not only caused a huge impact on the real economy,but also brought severe challenges to financial risk prevention.The study of extreme risk spillovers in the foreign exchange market during the post-financial crisis period based on complex network methods is undoubtedly of great significance for preventing financial risks.The thesis attempts to construct a network of extreme risk spillovers in the foreign exchange market in the post-financial crisis period,analyzes the dynamic evolution characteristics of the network structure in different periods,and discusses the robustness of the foreign exchange market network through node attacks and edge-to-edge attacks.The thesis finds that the extreme risk spillover network in the foreign exchange market showes strong "scale-free" characteristics in five periods;with the change of extreme events and the status of relevant countries,the node strength of the extreme risk spillover network in the foreign exchange market also changed.The risk spillover effect during extreme events is significantly greater than that during normal operation,indicating that the foreign exchange market has a typical "event-driven" feature;under the impact of global extreme events,the foreign exchange market of emerging market countries is more sensitive;different types of extreme events have a negative impact on foreign exchange.The impact of market network stability is different.Compared with regional extreme events,the foreign exchange market network shows stronger risk resistance under global extreme events;the network collapse threshold is the smallest under deliberate attacks based on node degrees,indicating that network node degrees can be more effective.It can reflect the influence of important countries(regions)well;under the same failure ratio and attack mode,the impact of node attacks on network stability is much greater than that of edge-to-edge attacks.The thesis discusses the spillover effect of extreme risks in the foreign exchange market,builds an extreme risk network,identifies and protects key nodes of the network,and depicts the stability and evolution of the foreign exchange market network.It is conducive to preventing and controlling extreme risk spillovers in the international foreign exchange market and maintaining the stable development of the market.