Haɗin Kan Canjin Canjin Canji a Kasuwannin Forex: Mummuna vs. Kyakkyawan Yaɗuwar Canjin Canji

Teburin Abubuwan Ciki

• 1. Gabatarwa
• 2. Hanyoyin Bincike
  • 2.1 Auna Haɗin Kan Canjin Canji
  • 2.2 Tsarin Rabin Bambancin Canji mara Daidaituwa
  • 2.3 Bayanai da Samfurin
• 3. Sakamakon Bincike na Zahiri
  • 3.1 Haɗin Kan Canjin Canji na Gabaɗaya
  • 3.2 Siffofin Yaɗuwar Canjin Canji mara Daidaituwa
  • 3.3 Binciken Yaɗuwar Canjin Canji mai Tsafta
• 4. Muhimman Fahimta
• 5. Cikakkun Bayanai na Fasaha da Tsarin Lissafi
• 6. Sakamakon Gwaji da Hotuna
• 7. Misalin Tsarin Bincike
• 8. Duban Aikace-aikace da Hanyoyi na gaba
• 9. Bincike na Asali
• 10. Manazarta
• 11. Sharhin Masana: Babban Fahimta, Tsarin Tunani, Ƙarfi da Rashi, Fahimta mai Aiki

1. Gabatarwa

Al'amarin canjin canji mara daidaituwa (AVP) wani tabbataccen gaskiya ne da aka rubuta: canjin canji a kasuwannin kuɗi yana yin girma bayan faduwar kasuwa kuma yana raguwa bayan hauhawar kasuwa. Duk da haka, yayin da AVP aka yi nazari sosai, rashin daidaituwa a cikin yaɗuwar canjin canji—yadda mummuna canjin canji ya bambanta da kyakkyawan canjin canji yake yaduwa a cikin kadarori—bai sami kulawa sosai ba. Wannan takarda ta Baruník, Kočenda, da Vácha (2016) ta magance wannan gibi ta hanyar binciken haɗin kan canjin canji mara daidaituwa a kasuwannin forex ta amfani da bayanan cikin rana mai mitar girma daga 2007 zuwa 2015 na kuɗaɗen da aka fi yin ciniki da su.

Marubutan sun rubuta cewa yaɗuwar canjin canji mara kyau (mummuna) ta mamaye na kyakkyawan (kyakkyawa), musamman a lokacin rikicin bashi na Turai. Yaɗuwar canjin canji mai kyau tana da alaƙa da rikicin jinginar gida, manufofin kuɗi daban-daban tsakanin bankunan tsakiya, da ci gaban kasuwannin kayayyaki. Binciken ya ba da sabbin shaidu cewa abubuwan kasafin kuɗi suna da alaƙa da yaɗuwar canjin canji mara kyau mai tsafta, yayin da haɗin abubuwan kuɗi da na tattalin arziki na ainihi ke haifar da rashin daidaituwa mai kyau mai tsafta.

2. Hanyoyin Bincike

2.1 Auna Haɗin Kan Canjin Canji

Marubutan sun yi amfani da tsarin haɗin kan Diebold da Yilmaz (2015), wanda ke amfani da rarrabuwar bambance-bambancen hasashen kuskure daga koma bayan vector autoregressions (VAR) don ƙididdige yaɗuwar canjin canji. Ma'aunin haɗin kan gabaɗaya yana auna rabon kuskuren hasashen da ke haifar da girgizar kadarori daban-daban. Ana ƙididdige yaɗuwar canjin canji mai jagora (ga wasu, daga wasu) da yaɗuwar canjin canji mai tsafta don gano masu watsawa da masu karɓar canjin canji.

2.2 Tsarin Rabin Bambancin Canji mara Daidaituwa

Don kama rashin daidaituwa, marubutan sun rarraba canjin canjin da aka samu zuwa rabin bambancin canji na ƙasa (mummuna) da na sama (kyakkyawa) bisa ga Barndorff-Nielsen, Kinnebrock, da Shephard (2010). Canjin canji mara kyau yana da alaƙa da dawowar mara kyau, canjin canji mai kyau yana da alaƙa da dawowar mai kyau. Ana ƙididdige ma'aunin haɗin kan daban don abubuwan canjin canji mara kyau da mai kyau, yana ba da damar gano yanayin yaɗuwar canjin canji mara daidaituwa.

2.3 Bayanai da Samfurin

Tarin bayanai ya ƙunshi 2007–2015 tare da bayanan cikin rana na minti 5 na manyan nau'ikan kuɗi guda shida: EUR/USD, GBP/USD, USD/JPY, USD/CHF, AUD/USD, da USD/CAD. Lokacin samfurin ya haɗa da rikicin kuɗi na duniya, rikicin bashi na Turai, da bambance-bambancen manufofi na gaba. Ana ƙididdige canjin canjin da aka samu da rabin bambancin canji kowace rana daga dawowar cikin rana.

3. Sakamakon Bincike na Zahiri

3.1 Haɗin Kan Canjin Canji na Gabaɗaya

Ma'aunin haɗin kan gabaɗaya yana canzawa akan lokaci, yana kaiwa kololuwa a lokutan rikici. Matsakaicin haɗin kan gabaɗaya yana kusan 60%, yana nuna dogaro sosai tsakanin kuɗaɗe. Kololuwa na faruwa a lokacin rikicin kuɗi na 2008 da rikicin bashi na Turai na 2011–2012, inda haɗin kan ya kai sama da 80%.

3.2 Siffofin Yaɗuwar Canjin Canji mara Daidaituwa

Yaɗuwar canjin canji mara kyau ta kasance mafi girma a koyaushe fiye da yaɗuwar canjin canji mai kyau. Matsakaicin haɗin kan mara kyau ya kai kusan 65%, yayin da haɗin kan mai kyau ya kai kusan 55%. Rashin daidaituwa ya fi fitowa fili a lokacin rikicin bashi na Turai, inda yaɗuwar canjin canji mara kyau ta mamaye. Yaɗuwar canjin canji mai kyau ta fi fitowa fili a lokacin rikicin jinginar gida da lokutan bambance-bambancen manufofin kuɗi.

3.3 Binciken Yaɗuwar Canjin Canji mai Tsafta

Binciken yaɗuwar canjin canji mai tsafta ya nuna cewa EUR/USD shine mai watsa canjin canji mara kyau a lokacin rikicin bashi na Turai, yayin da USD/JPY ke aiki a matsayin mai karɓa mai tsafta. AUD/USD yana nuna yaɗuwar canjin canji mai kyau mai tsafta a lokacin hauhawar kayayyaki. Rashin daidaituwa mai tsafta (mummuna rage kyakkyawa) yana da kyau ga yawancin kuɗaɗe a lokutan rikici, yana tabbatar da cewa canjin canji mara kyau yana yaduwa da ƙarfi.

4. Muhimman Fahimta

• Mamayar Canjin Canji mara Kyau: Yaɗuwar canjin canji mara kyau ta kasance mafi girma a koyaushe fiye da na kyakkyawan, musamman a lokutan rikici.
• Rashin Daidaituwa mai Haɗari da Lamari: Abubuwan kasafin kuɗi (bashi na gwamnati) suna haifar da yaɗuwar canjin canji mara kyau mai tsafta; abubuwan kuɗi da na tattalin arziki na ainihi suna haifar da yaɗuwar canjin canji mai kyau mai tsafta.
• Bambancin Kuɗi: Kuɗaɗe daban-daban suna nuna matsayi daban-daban a matsayin masu watsawa ko masu karɓa na canjin canji mara kyau/kyakkyawa.
• Abubuwan da suka shafi Fayil: Yaɗuwar canjin canji mara daidaituwa tana da sakamako kai tsaye ga dabarun shinge da rarrabuwa.

5. Cikakkun Bayanai na Fasaha da Tsarin Lissafi

An rarraba canjin canjin da aka samu zuwa rabin bambancin canji na ƙasa da na sama:

$RV_t = \sum_{i=1}^{N} r_{t,i}^2$

$RS^-_t = \sum_{i=1}^{N} r_{t,i}^2 \cdot I(r_{t,i} < 0)$

$RS^+_t = \sum_{i=1}^{N} r_{t,i}^2 \cdot I(r_{t,i} > 0)$

inda $r_{t,i}$ shine dawowar cikin rana, kuma $I(\cdot)$ shine aikin nuna alama. Ma'aunin haɗin kan ya dogara ne akan samfurin VAR na oda $p$:

$\mathbf{x}_t = \sum_{k=1}^{p} \mathbf{\Phi}_k \mathbf{x}_{t-k} + \mathbf{\epsilon}_t$

Rarrabuwar bambance-bambancen hasashen kuskure na mataki $H$ na gaba yana ba da matrix yaɗuwar canjin canji $\mathbf{D}$, inda $d_{ij}$ shine gudunmawar mai canji $j$ ga bambance-bambancen kuskuren hasashen mai canji $i$. Ma'aunin haɗin kan gabaɗaya shine:

$C = \frac{\sum_{i \neq j} d_{ij}}{\sum_{i,j} d_{ij}} \times 100$

Ana ƙididdige yaɗuwar canjin canji mai jagora (daga wasu, ga wasu) da yaɗuwar canjin canji mai tsafta daidai da haka don rabin bambancin canji mara kyau da mai kyau daban.

6. Sakamakon Gwaji da Hotuna

Hoto 1: Ma'aunin haɗin kan gabaɗaya akan lokaci (2007–2015). Ma'aunin ya kai kololuwa sama da 80% a lokacin rikicin kuɗi na 2008 da rikicin bashi na Turai na 2011–2012, tare da tushe kusan 60%.

Hoto 2: Haɗin kan canjin canji mara kyau vs. kyakkyawa. Ma'aunin haɗin kan mara kyau (layi mai ƙarfi) yana kwance a koyaushe sama da ma'aunin haɗin kan mai kyau (layi mai tsaga), tare da matsakaicin tazarar maki 10 bisa 100.

Hoto 3: Yaɗuwar canjin canji mara daidaituwa mai tsafta (mummuna rage kyakkyawa) ga kowane kuɗi. EUR/USD yana nuna babban rashin daidaituwa mai tsafta a lokacin 2011–2012, yayin da USD/JPY yana nuna rashin daidaituwa mara kyau mai tsafta a lokaci guda.

Tebur 1: Matsakaicin yaɗuwar canjin canji mai jagora (2007–2015). EUR/USD yana watsa 25% na bambancinsa ga wasu (canjin canji mara kyau) vs. 18% (canjin canji mai kyau). USD/JPY yana karɓar 30% daga wasu (mara kyau) vs. 22% (mai kyau).

7. Misalin Tsarin Bincike

Nazarin Harka: Rikicin Bashi na Turai (2011–2012)

A wannan lokacin, yaɗuwar canjin canji mara kyau daga EUR/USD zuwa wasu kuɗaɗe ya ƙaru sosai. Rashin daidaituwa mai tsafta ga EUR/USD ya kai maki +15 bisa 100, ma'ana canjin canji mara kyau ya yadu fiye da na kyakkyawa. Ga USD/JPY, rashin daidaituwa mai tsafta ya kai maki -10, yana nuna cewa shi ne mai karɓar canjin canji mara kyau mai tsafta. Wannan rashin daidaituwa ana danganta shi da matsalolin kasafin kuɗi a yankin Euro, wanda ya haifar da jin daɗin kauracewa haɗari da gudu zuwa kuɗaɗen mafaka kamar JPY da USD.

Aikace-aikace na Aiki: Manajan fayil ɗin da ke riƙe da matsayin EUR/USD da USD/JPY zai buƙaci daidaita ma'aunin shinge a lokutan rikici, saboda yaɗuwar canjin canji mara kyau yana ƙara haɗin kai kuma yana rage fa'idodin rarrabuwa. Ta amfani da tsarin haɗin kan canjin canji mara daidaituwa, manajan zai iya gano waɗanne kuɗaɗe ne masu watsa canjin canji mara kyau kuma ya ƙara shinge daidai da haka.

8. Duban Aikace-aikace da Hanyoyi na gaba

Tsarin haɗin kan canjin canji mara daidaituwa yana da aikace-aikace masu faɗi fiye da kasuwannin forex. Bincike na gaba zai iya fadada binciken zuwa:

• Kasuwannin Cryptocurrency: Aiwatar da tsarin ga Bitcoin da sauran kadarorin dijital, waɗanda ke nuna canjin canji mai tsanani da yuwuwar rashin daidaituwa.
• Yaɗuwar Canjin Canji Tsakanin Kadarori: Binciken rashin daidaituwa tsakanin hannun jari, lamuni, kayayyaki, da kuɗaɗe lokaci guda.
• Sa ido na Gaskiya: Haɓaka tsarin gargaɗin farko bisa ma'aunin yaɗuwar canjin canji mara daidaituwa don gano haɓakar haɗarin tsari.
• Binciken Manufofi: Kimanta tasirin shisshigin bankin tsakiya akan yaɗuwar canjin canji mara daidaituwa.
• Haɗin Koyon Injin: Amfani da hanyoyin sadarwa na jijiyoyi don hasashen yaɗuwar canjin canji mara daidaituwa da inganta dabarun shinge masu canzawa.

9. Bincike na Asali

Wannan takarda tana ba da gudunmawa mai mahimmanci ta hanyar fadada wallafe-wallafen haɗin kan canjin canji don haɗa rashin daidaituwa, wani girma da aka yi watsi da shi sosai a cikin aikin da ya gabata. Amfani da bayanan mitar mai girma da rarrabuwar rabin bambancin canji yana da inganci a tsarin kuma yana ba da fahimta mai zurfi. Gano cewa canjin canji mara kyau ya mamaye a lokutan rikicin kasafin kuɗi yayin da canjin canji mai kyau yana da alaƙa da bambance-bambancen manufofin kuɗi yana da ma'ana ta tattalin arziki kuma ya yi daidai da wallafe-wallafen tasirin haɓaka (Black, 1976).

Duk da haka, binciken yana da iyakoki. Samfurin ya iyakance ga manyan nau'ikan kuɗi guda shida, yana ware kuɗaɗen kasuwanni masu tasowa waɗanda zasu iya nuna siffofin rashin daidaituwa daban-daban. Ma'aunin haɗin kan da ya dogara da VAR yana ɗaukar daidaituwa, wanda bazai iya kama dogaro mara daidaituwa a lokutan abubuwan da suka wuce gona da iri ba. Bugu da ƙari, gano abubuwan da ke haifar da (kasafin kuɗi vs. kuɗi) ya dogara ne akan haɗin kai na labari maimakon gwajin sanadi na yau da kullun.

Idan aka kwatanta da Baruník et al. (2016) akan hannun jarin Amurka, kasuwar forex tana nuna haɗin kan gabaɗaya mafi girma amma siffofin rashin daidaituwa iri ɗaya. Wannan yana nuna cewa rashin daidaituwa a cikin yaɗuwar canjin canji sifa ce ta duniya ta kasuwannin kuɗi, ba rashin daidaituwa na musamman na kadara ba. Sakamakon kuma ya cika aikin Diebold da Yilmaz (2015) ta hanyar ƙara sabon girma ga binciken haɗin kan.

Daga mahangar aiki, sakamakon yana da sakamako kai tsaye ga sarrafa haɗari. Manajan fayil ya kamata su yi la'akari da yaɗuwar canjin canji mara daidaituwa lokacin gina shinge, saboda haɗin kai yana ƙaruwa a lokutan faduwa fiye da lokutan hauhawa. Masu tsari za su iya amfani da haɗin kan canjin canji mara daidaituwa a matsayin kayan aiki na macroprudential don sa ido kan haɗarin tsari, saboda hauhawar yaɗuwar canjin canji mara kyau yakan riga ya wuce rikice-rikice.

10. Manazarta

• Baruník, J., Kočenda, E., & Vácha, L. (2016). Asymmetric volatility connectedness on forex markets. arXiv:1607.08214.
• Baruník, J., Kočenda, E., & Vácha, L. (2015). Asymmetric volatility connectedness: A new approach and evidence from oil commodities. Energy Economics, 52, 220-235.
• Barndorff-Nielsen, O. E., Kinnebrock, S., & Shephard, N. (2010). Measuring downside risk: Realised semivariance. In Volatility and Time Series Econometrics (pp. 117-136). Oxford University Press.
• Black, F. (1976). Studies of stock price volatility changes. Proceedings of the 1976 Meetings of the American Statistical Association, 171-181.
• Diebold, F. X., & Yilmaz, K. (2015). Financial and Macroeconomic Connectedness: A Network Approach to Measurement and Monitoring. Oxford University Press.
• Kitamura, Y. (2010). Testing for intraday interdependence and volatility spillover among the euro, the pound and the Swiss franc. Journal of International Money and Finance, 29(5), 943-960.
• BIS (2013). Triennial Central Bank Survey: Foreign exchange turnover in April 2013. Bank for International Settlements.

11. Sharhin Masana: Babban Fahimta, Tsarin Tunani, Ƙarfi da Rashi, Fahimta mai Aiki

Babban Fahimta: Wannan takarda ba wai kawai tana auna yaɗuwar canjin canji ba—tana tabbatar da cewa mummunan labari yana tafiya da sauri da nisa fiye da labari mai kyau a kasuwannin kuɗi. Rashin daidaituwa ba wani abu ne na ƙididdiga ba; sifa ce ta tsari da ke haifar da tsarin tattalin arziki daban-daban: rikice-rikicen kasafin kuɗi suna ƙara yaɗuwar canjin canji mara kyau, yayin da bambance-bambancen manufofin kuɗi ke haifar da yaɗuwar canjin canji mai kyau. Wannan canji ne ga duk wanda ya yi tunanin haɗin kan forex yana da daidaituwa.

Tsarin Tunani: Marubutan sun fara da wani gibi bayyananne: kowa ya san canjin canji bai da daidaituwa, amma babu wanda ya gwada ko yaɗuwar canjin canji bai da daidaituwa. Sun gina ingantacciyar hanya ta hanyar rarraba canjin canjin da aka samu zuwa rabin bambancin canji mara kyau da mai kyau, sannan sun saka waɗannan a cikin tsarin haɗin kan Diebold-Yilmaz. Sashe na zahiri an tsara shi da kyau: farko haɗin kan gabaɗaya, sannan rashin daidaituwa, sannan yaɗuwar canjin canji mai tsafta, kuma a ƙarshe fassarar tattalin arziki. Tsarin yana da ma'ana kuma yana da sauƙin bi, kodayake da'awar sanadi (kasafin kuɗi vs. kuɗi) sun fi nuni fiye da tabbatarwa.

Ƙarfi da Rashi: Babban ƙarfi shine sabon abu—wannan ita ce takarda ta farko da ta rubuta haɗin kan canjin canji mara daidaituwa a kasuwannin forex. Amfani da bayanan mitar mai girma (minti 5) babban abin ƙarfafawa ne, saboda yana kama yanayin cikin rana wanda bayanan yau da kullun zasu rasa. Rarrabuwar rabin bambancin canji yana da kyau kuma yana da tushe a ka'ida. Duk da haka, samfurin ya iyakance ga manyan nau'ikan kuɗi guda shida, yana ware kuɗaɗen kasuwanni masu tasowa waɗanda zasu iya nuna hali daban-daban. Samfurin VAR yana ɗaukar daidaituwa, wanda yake da wuya a lokutan rikici lokacin da rashin daidaituwa ke mamaye. Hakanan, danganta abubuwan da ke haifar da yaɗuwar canjin canji ga abubuwan kasafin kuɗi da kuɗi ya dogara ne akan duban gani na jerin lokaci, ba gwajin hasashe na yau da kullun ba. Wannan yana raunana labarin sanadi.

Fahimta mai Aiki: Ga manajan fayil: daina ɗaukan haɗin kai yana da daidaituwa. A lokutan rikici, ya kamata a ƙara ma'aunin shinge da kashi 20-30% saboda yaɗuwar canjin canji mara kyau yana ƙara haɗarin ƙasa. Ga bankunan tsakiya: haɗin kan canjin canji mara daidaituwa na iya zama alamar gargaɗin farko—haɓakar yaɗuwar canjin canji mara kyau daga EUR/USD zuwa wasu kuɗaɗe yana nuna damuwa na tsari. Ga masu bincike: fadada wannan tsarin zuwa cryptocurrencies, waɗanda ke nuna rashin daidaituwa mai tsanani, da kuma yaɗuwar canjin canji tsakanin kadarori (misali, forex zuwa hannun jari). Hanyar tana shirye don haɓaka koyon injin—yi amfani da hanyoyin sadarwa na LSTM don hasashen yaɗuwar canjin canji mara daidaituwa a ainihin lokaci. A ƙarshe, masu tsari ya kamata su yi la'akari da haɗin kan canjin canji mara daidaituwa a matsayin kayan aiki na macroprudential; takarda ta nuna cewa yaɗuwar canjin canji mara kyau ta kai kololuwa kafin manyan rikice-rikice, tana ba da yuwuwar alamar jagora.