摘要：在世界动荡、经济逆全球化加剧的背景下，考察不同重大冲击下全球外汇市场的风险传染效应，对于维护全球汇率稳定具有重要意义。本文基于2005—2023年全球27种主要货币，分别构建R-Vine Copula模型和Elastic Net-VAR模型，从联动网络与溢出网络两个维度出发，综合探究不同极端事件冲击下全球汇率市场间的风险传染效应。实证发现，美元与沙特里亚尔始终是全球汇率风险联动网络中的重要节点，在溢出网络中也表现出了强烈的风险输送特征。同时，汇率市场间的风险联动网络与风险溢出网络变迁均具有事件驱动特征，极端事件的冲击会更容易造成汇率风险在不同地理区域的货币之间交叉传染。特别地，俄乌冲突暴发后，整体汇率格局开始呈现区块化趋势，经济逆全球化对全球汇率格局的影响逐渐凸显，欧亚之间的跨区域联动与风险溢出有所减弱，美元对其他地理区域的货币表现出强劲的风险溢出特征，跨区域的风险联动与风险溢出更多存在于具有合作的地区之间、经济体量较为相近的地区之间或者地理位置临近的地区之间。此外，风险溢出网络的拓扑分组还进一步表明，重大公共卫生安全事件期间的跨区域风险溢出效应最为显著，其次为次贷危机，最后为俄乌冲突。

Abstract: Amidst the global turmoil and the intensification of economic anti-globalization, it is of paramount significance to study the risk-contagion effect of the global foreign exchange market under various major shocks for maintaining the stability of the global exchange rate. Based on 27 major currencies worldwide from 2005 to 2023, this paper respectively constructs the R-Vine Copula model and the Elastic Net-VAR model, and comprehensively examines the risk contagion effect among global exchange rate markets under the influence of different extreme events from two dimensions: the linkage network and the spillover network. The empirical findings indicate that the US dollar and the Saudi riyal are consistently significant nodes in the global exchange rate risk linkage network and also demonstrate strong risk transmission characteristics in the spillover network. Simultaneously, the alterations of the risk linkage network and the risk spillover network between exchange rate markets are event-driven, and the impact of extreme events is more likely to trigger cross-infection of exchange rate risks among currencies in different geographical regions. Particularly, after the outbreak of the Russia-Ukraine conflict, the overall exchange rate pattern began to exhibit a trend of blockage, the influence of economic anti-globalization on the global exchange rate pattern gradually became prominent, the cross-regional linkages and risk spillovers between Europe and Asia weakened, and the US dollar displayed a robust risk spillover feature against the currencies of other geographical regions. Cross-regional risk linkages and risk spillovers are more prevalent among regions with cooperation, regions with similar economic volumes, or regions with close geographical proximities. Additionally, the topological grouping of the risk spillover network further reveals that the cross-regional risk spillover effect is the most significant during major public health security events, followed by the subprime crisis and the Russia-Ukraine conflict.