汇率、黄金期货与比特币中的马尔可夫冲击源追踪及多维资产角色
Markovian Shock-Source Tracing and Multidimensional Asset Roles in Exchange Rates, Gold Futures, and Bitcoin
- Kyungpook National University（庆北国立大学）
- Daegu Metropolitan Office of Education（大邱广域市教育厅）
- Korea Institute for Advanced Study（韩国高等研究院）
机构由 AI 辅助整理，请以论文原文为准。
AI总结：
该研究通过VAR-GFEVD等方法，从直接溢出传递、平稳源追踪、多步上游连通性三维度，揭示汇率、黄金期货、比特币等资产在金融网络中的角色差异，表明仅靠NET溢出无法推断这些维度的信息。
AI中文摘要：
本研究考察由主要汇率、黄金期货和比特币构成的国际金融网络中的跨资产连通性，突破传统的净传递者-接收者分类，通过三个互补维度刻画资产角色：直接溢出传递、平稳源追踪动态及多步上游连通性。采用VAR广义预测误差方差分解（VAR-GFEVD）估计收益溢出，随后将成对正净溢出结构映射为行随机马尔可夫核，其转移沿原始传递边的反向追踪主导净溢出源；平稳偏离通量描述该源追踪链的长期运动，通过Fink等人的确定性概率传播算法评估病毒中心性以近似多步上游可达性。实证结果显示，黄金期货为主要直接净传递者及领先平稳源追踪节点，但病毒中心性并非最大；多个被归类为直接净接收者的汇率节点具有较高病毒中心性，表明其对上游源节点具备广泛的条件接入；比特币处于中间角色。纳入美元指数的辅助设定产生性质相似的角色分化。结果表明，仅从NET溢出无法推断直接连通性、平稳源追踪及近似多步上游可达性，所有扩散解释均为描述性的，且依赖于估计的网络、行归一化及重启闭合。
英文摘要：
This study examines cross-asset connectedness in an international financial network of major exchange rates, gold futures, and Bitcoin. Moving beyond the conventional net transmitter--receiver classification, we characterize asset roles through three complementary dimensions: direct spillover transmission, stationary source-tracing dynamics, and multistep upstream connectivity. Return spillovers are estimated using VAR generalized forecast-error variance decomposition (VAR-GFEVD). The positive pairwise net-spillover structure is then mapped into a row-stochastic Markov kernel whose transitions trace dominant net-spillover sources in the reverse direction of the original transmission edges. A stationary departure flux describes long-run movement in this source-tracing chain, while Viral Centrality is evaluated by the deterministic probability-propagation algorithm of Fink et al. to approximate multistep upstream reach. Empirically, gold futures emerge as the dominant direct net transmitter and the leading stationary source-tracing node, but do not have the largest Viral Centrality. Several exchange-rate nodes classified as direct net receivers have relatively high Viral Centrality, indicating broad conditional access to upstream source nodes. Bitcoin occupies an intermediate role. An auxiliary specification including the U.S. Dollar Index yields qualitatively similar role differentiation. The results show that direct connectedness, stationary source tracing, and approximate multistep upstream reach cannot be inferred from NET spillovers alone. All diffusion interpretations are descriptive and conditional on the estimated network, row normalization, and restart closure.
