Proceedings of the 3rd International Conference on Bigdata Blockchain and Economy Management, ICBBEM 2024, March 29–31, 2024, Wuhan, China

Research Article

Exchange Rate Volatility and Correlation Between China, Japan and the U.S

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  • @INPROCEEDINGS{10.4108/eai.29-3-2024.2347314,
        author={Zhuolun  Wu and Conglin  Xie and Dongcheng  Liang and Boran  Yang},
        title={Exchange Rate Volatility and Correlation Between China, Japan and the U.S},
        proceedings={Proceedings of the 3rd International Conference on Bigdata Blockchain and Economy Management, ICBBEM 2024, March 29--31, 2024, Wuhan, China},
        publisher={EAI},
        proceedings_a={ICBBEM},
        year={2024},
        month={6},
        keywords={exchange rate volatility correlation the ridge model},
        doi={10.4108/eai.29-3-2024.2347314}
    }
    
  • Zhuolun Wu
    Conglin Xie
    Dongcheng Liang
    Boran Yang
    Year: 2024
    Exchange Rate Volatility and Correlation Between China, Japan and the U.S
    ICBBEM
    EAI
    DOI: 10.4108/eai.29-3-2024.2347314
Zhuolun Wu1,*, Conglin Xie2, Dongcheng Liang3, Boran Yang4
  • 1: University of California Santa Barbara
  • 2: Tianjin University of Commerce
  • 3: New York University
  • 4: University of Manchester
*Contact email: zhuolun@ucsb.edu

Abstract

In this essay, we first examine the factors that influence the volatility of the exchange rates between China, Japan, and the United States from 2013 to 2023. And also explains the factors that affect the correlation between the three countries in currency exchange markets. We then establish a clear, explicit model for the role of exchange rate variations between China, Japan, and the United States before examining how and to what degree exchange rate fluctuations affect volatility and correlations in currency exchange rate markets. In this study, we gather the ten-year currency exchange rate and compute the volatility using RIDGE-Model and Python. According to the evidence in this research, local market volatility is mostly increased by larger currency exchange rate unpredictability. In addition, the correlation between the three nations reveals that while exchange rate changes between China and the U.S. are minimal, those between Japan and the U.S. are quite substantial.