동아시아 국가의 환율변동 요인 분석
Common Factor Analysis of Exchange Rate Volatility in East Asia
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This paper investigates common factors of exchange rates volatility in East Asia using the common indexes made by principal component analysis. We employ a structural VAR model to separate underlying factors into global, regional and individual shocks. As a result, we find that the mainly cause of exchange rate volatility is individual factor in East Asian foreign exchange market, and global and regional factors are relatively responsible for small. In case of Japan, domestic phenomenon explains most of volatility. It is play a dominant role in the others, too, but they are different from a weight composition of volatility. The volatility of China, Malaysia and Singapore is mainly explained by regional factors. On the other hands, Korea, Indonesia, Thailand and Philippine caused by global factors. In addition, to consider time-varying effects, we separate the sample period by before and after global financial crisis. The estimation results show that Indonesia has not changed much, but other countries have changed quite a bit. In the foreign exchange market of Korea and Philippine, domestic effects decline and global effects increase. The weight of regional factors in Malaysia reduces and global factors rise. In China and Thailand, the factor caused by global market is decreased but the volatility caused by domestic factor is increased.
Abstract
This paper investigates common factors of exchange rates volatility in East Asia using the common indexes made by principal component analysis. We employ a structural VAR model to separate underlying factors into global, regional and individual shocks. As a result, we find that the mainly cause of exchange rate volatility is individual factor in East Asian foreign exchange market, and global and regional factors are relatively responsible for small. In case of Japan, domestic phenomenon explains most of volatility. It is play a dominant role in the others, too, but they are different from a weight composition of volatility. The volatility of China, Malaysia and Singapore is mainly explained by regional factors. On the other hands, Korea, Indonesia, Thailand and Philippine caused by global factors. In addition, to consider time-varying effects, we separate the sample period by before and after global financial crisis. The estimation results show that Indonesia has not changed much, but other countries have changed quite a bit. In the foreign exchange market of Korea and Philippine, domestic effects decline and global effects increase. The weight of regional factors in Malaysia reduces and global factors rise. In China and Thailand, the factor caused by global market is decreased but the volatility caused by domestic factor is increased.
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