원/달러 환율과 엔/달러 환율에서의 분수공적분 관계에 대한 연구
A study on the Existence of Fractional Cointegration Relationship between Won/Dollar and Yen/Dollar Exchange Rate
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Abstract
Policy makers as well as international companies should note the fluctuations of exchange rate because it has precious information regarding macroeconomic conditions. Especially, participants in Korean stock market, which depending highly on foreign investment, have much interest on foreign exchange rate. After 1997 currency crisis, the weight of yen has ascended in result of financial system's restructuring. Also, the comovement of Won-Yen is observed frequently in NDF trading market. The Won-Yen comovement has positive effects such that the fluctuations of export volume is decreased. In other aspect, the phenomena has negative effects such as the increase of exchange risk due to the difference of settlement currency (Dollar) and comoving currency (Yen). This study examined empirically on the existence of fractional cointegration relationship by using Won/Dollar and Yen/Dollar exchange rate data. The existence of fractional cointegration indicates Error Correction Model (ECM) would be useful only with long forecasting horizon. The fractional cointegration approach has an advantage of being able to consider short-run and long-run information simultaneouly. The empirical result showed that the stable equilibrium relationship between the two exchange rates had realized, and that ECM had a significant predicting power at a long-run horizon. The Won-Yen comovement as a external factor will have an effect on the economy stability. Therefore, to moderate such a problem, our companies should develop other competitiveness excepting price. Also, diversifying settlement currency in export and import is necessary to reduce the risk exposure of exchange rate. The financial institutions financing internationally must notice the increased volatility of Won/Dollar exchange rate.
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