The Feature of the B&R Exchange Rate: Comparison with Main Currency Based on EMD Algorithm and Grey Relational Degrees

According to BELT AND ROAD PORTAL, China has signed 173 cooperative documents with 125 countries and 29 international organizations along the Belt and Road (B&R) until April 2019, and the exchange rate volatility of currencies in the B&R are usually higher. In this paper, we firstly constructed the B&R exchange rate index on the basis of both the trade volumes and the foreign investment situation. After that, we compared it with the RMB exchange rate index. First, the EMD algorithm was used to decompose each index respectively into 8 IMFs and residual signal. Afterwards, based on grey comprehensive relational degrees, we reconstructed the market fluctuation term and noise term of each exchange rate index, and also get the trend term which is the residual signal. Then, we used comparative analysis to discuss and explain the features and relationship of exchange rate risk of RMB between the B&R and against main currencies, and found that in the long term, there was more devaluation risk of the currencies and regions along the B&R; in the middle term, there was a lead-lag relationship between the two indexes, and the B&R exchange rate index is going to decline; in the short term, the exchange risk in the countries and regions along the B&R is greater than the worldwide RMB exchange rate risk. Finally, we put forward several relevant suggestions to help going-out enterprises to avoid and manage exchange rate risks effectively.