Variable name | Description |
---|---|
Dependent variable | |
Currency excess return | The one-month currency excess returns computed by the approach in section “Emphirical model” |
Currency forward spread | The log difference between forward exchange rate and spot exchange rate based on the US dollar |
Network centrality | |
Degree centrality | A measure of the weighted sum of all edges given a node. Similarly, in-strength measures the weighted sum of all edges from other nodes to the given node, while out-strength measures the weighted sum of all edges from the given node to other nodes |
Closeness centrality | The degree of closeness centrality is calculated by taking the sum of reciprocals of the length of the shortest path between the relevant node and all others |
Betweenness centrality | A measure of all the shortest paths in the network through a given node in the fraction form. A large number of shortest paths indicates that the relevant node has a high value of betweenness centrality |
Eigenvector centrality | The importance of a node in a network by considering the centrality of its connected nodes. A high eigenvector centrality node is observed when it connects to other high eigenvector centrality nodes |
Sovereign characteristics | |
Government debt ratio | (Government external debt)/(Total external debt) |
Total debt ratio | (Total external debt)/GDP |