本研究應用Diebold and Yilmaz(2012)外溢效果指數來衡量關聯性，
分析二十一個國家實質有效匯率指數波動間的關聯性，使用1994年到2015年月資料，實證研究結果顯示，沙烏地阿拉伯、美國和中國在全樣本分析下中最具影響力，也較容易受到其他國家影響，但影響力大過被影響的程度，在動態移動視窗(rolling-sample windows)分析中，總關聯性在2008年金融海嘯時期達到高峰，表示此時各國的實質有匯率間的關聯性強，而在2013年貨幣寬鬆政策退場後，關聯程度有驟降的現象，但從整個時間軸來看，關聯性是有向上攀升的情形。本研究特色在於使用實質有匯率取代以往常用的名目匯率，用以保留常被當成兌幣基準的貨幣。

The Diebold-Yilmaz Connectedness Methodology, which employs the spillover effect index to measure connectedness (Diebold & Yilmaz, 2012 ), was adopted in the present study to analyze the connectedness of the real effective exchange rate (REER) index volatility recorded in the monthly data of 21 countries between 1994 and 2015. Empirical results indicate that under full-sample analysis, Saudi Arabia, the United States, and China were the prominent influencers. These countries were also easily influenced by other countries. The influence these countries exerted on others, however, far exceeds the extent to which they were influenced. Results of the rolling-sample windows show that total connectedness peaked during the financial crisis of 2008, indicating a strong connectedness among the REER indices of various countries throughout this period. Furthermore, a drastic decline in connectedness can be observed following the withdrawal of the Quantitative Easing Monetary Policy in 2013. Nonetheless, a steady rise in connectedness can be observed across the entire timeline. The main contribution of the present study is the use of REER indices as opposed to nominal exchange rate indices for the purpose of retaining the currencies that are commonly used as exchange benchmarks.

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