Comparison of the disequilibrium error dynamics for the Won‧Dollar foreign exchange rate before and after financial crisis
1
조회
0
다운로드
6
인용
0
참고문헌
키워드
초록
The paper analyzes whether there was any change in the dynamics of disequilibrium error of Korean Won-Dollar foreign exchange rates before and after Asian financial crisis. We used a transformed error correction model where the dependent variable is the disequilibrium error deduced from the cointegration theory, following Kim and Park (2008). The long run equilibrium of exchange rate is basically defined from the monetary approach. From the estimation using the data for the period before the Asian financial crisis, we found there was the negative effect of exchange rate disequilibrium shock on the real growth rate, even though the disequilibrium error has been quickly disappeared probably through the government intervention. After the crisis, the disequilibrium error of exchange rate did not disappear quickly possibly due to the choice of free floating system. However the detrimental effect of disequilibrium shock for the real growth rate has been mitigated. The result confirms a policy dilemma that is a trade-off between the exchange rate stabilization and sound growth in the real sector which may not be attained simultaneously.
Abstract
The paper analyzes whether there was any change in the dynamics of disequilibrium error of Korean Won-Dollar foreign exchange rates before and after Asian financial crisis. We used a transformed error correction model where the dependent variable is the disequilibrium error deduced from the cointegration theory, following Kim and Park (2008). The long run equilibrium of exchange rate is basically defined from the monetary approach. From the estimation using the data for the period before the Asian financial crisis, we found there was the negative effect of exchange rate disequilibrium shock on the real growth rate, even though the disequilibrium error has been quickly disappeared probably through the government intervention. After the crisis, the disequilibrium error of exchange rate did not disappear quickly possibly due to the choice of free floating system. However the detrimental effect of disequilibrium shock for the real growth rate has been mitigated. The result confirms a policy dilemma that is a trade-off between the exchange rate stabilization and sound growth in the real sector which may not be attained simultaneously.
참고문헌 (28)
- 김윤영, "오차단위근을 고려한 공적분 검정", 금융경제연구, (300) (2007), 한국은행
- 김윤영, "오차단위근을 고려한 구매력평가설 검정", 경제분석, 14(1) (2008), 한국은행
- 김진용, "원화환율의 장기균형 및 불균형오차 분석", 조사통계월보, (2), pp.24~55 (2003), 한국은행
- 박찬호, "금리와 환율간 관계 분석" (2007), Mimeo
- 서병선, "통화량 산업생산, 환율의 장기균형관계에 대한 연구", 경제학 연구, 49(1) (2001)
- 신관호, "원화환율의 변동성 추이에 관한 연구", 계량경제학보, 15(1), pp.93~128 (2004)
- 오정근, "주식시장이 채권시장보다 활황인 개방경제에서 금리·주가·환율 경상수지간의 상관괸계", 금융경제연구, (104) (2000), 한국은행
- 홍승제, "마코프-스위칭 GARCH모형을 이용한 외환위기 전후 경제레짐 변화시점 추정", 금융경제연구, (172) (2004), 한국은행
- Bilson, J.F.O., "The Current Experience with Floating Exchange Rates: An Appraisal of the Monetary Approach", pp.392~397 (1978), American Economic Review: Papers and Proceedings
- Canada's Pioneering Experience with a Flexible Exchange Rate in the 1950s: (Hard) Lessons Learned for Monetary Policy in a Small Open Economy, Working Paper 2007-45, "Bordo, M.", Bank of Canada, ~ (2007)
- Exchange Rates and Economic Fundamnetals: A Methodological Comparison of Beers and Feers, IMF Working Paper, No. 98, "67", Clark, P., 1998
- Exchange Rate Models Are Not as Bad as You Think, NBER working paper 13318, "Engel, C.", ~ (2007)
- Engel, R.F., "Cointegration and Error Correction: Representation, Estimation and Testing", Econometrica, 55, pp.251~276 (1987)
- Frankel, J.A., "On the Mark: A Theory of Floating Exchange Rates Based on Real Interest Differentials", American Economic Review, 69, pp.610~622 (1979)
- Granger, C.W.J., "An Introduction to Stochastic Unit-Root Process", Journal of Econometrics, 80, pp.35~65 (1997)
- Hamilton, J.D., "Time Series Analysis" (1994), Princeton University Press
- Lucas, R., "Interest Rates and Currency Prices in a Two-Country World", Journal of Monetary Economics, pp.335~359 (1982)
- Johansen, A., "Statistical Analysis of Cointegration Vectors", Journal of Economic Dynamics and Control, 12, pp.231~254 (1988)
- Johansen, A., "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models", Econometrica, 59, pp.1551~1580 (1991)
- Johansen, A., "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models, Advanced Texts in Econometrics" (1995), Oxford University Press
- Kwiatkowski, D., "Testing the Null Hypothesis Against the Alternative of a Unit Root: How Sure are We That Economic Time Series Have a Unit Root?", Journal of Econometrics, 54, pp.159~178 (1992)
- Meese, R., "Empirical Exchange Rate Models of the Seventies: Do They Fit Out of Sample?", Journal of International Economics, 14, pp.3~24 (1983)
- Kim, Yun-Yeong, "Testing Purchasing Power Parity in Transformed ECM with Nonstationary Disequilibrium Error, Economic Papers" (2008), Bank of Korea
- VAR Prewhitening to Estimate Shortrun Dynamics : On Improved Method of Inference Cointegrated Models, RCER Working Paper, No. 281, "Park, Joon Y.", University of Rochester, ~ (1991)
- Saikkonen, P., "Asymptotically Efficient Estimation of Cointegration Regressions", Econometric Theory, 7, pp.1~21 (1991)
- Shin, Y.C., "A Residual Based Test of the Null of Cointegration Against the Alternative of No Cointegration", Econometric Theory, 10, pp.91~115 (1994)
- Wu, J.L., "Nominal Exchange-Rate Prediction: Evidence from a Nonlinear Approach", Journal of International Money and Finanace, 20, pp.521~532 (2001)
- Wooldridge, J., "Notes on Regression with Difference-Stationary Data" (1991), Michigan State University