본문 바로가기
KERD
논문KCI 등재

Effects of Financial Crises on the Long Memory Volatility Dependency of Foreign Exchange Rates: the Asian Crisis vs. the Global Crisis

한영욱
대외경제정책연구원 (Korea Institute for International Economic Policy (KIEP))|2014.03|East Asian Economic Review|제18권 제1호|pp. 3-27|DOI http://dx.doi.org/10.11644/KIEP.JEAI.2014.18.1.273

1

조회

0

다운로드

0

인용

0

참고문헌

키워드

Financial CrisisFIGARCH ModelLocal Whittle MethodDaily Foreign Exchange RateLong Memory Volatility DependencyTemporal Aggregation
주제분류경제학

초록

This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns focusing on the Asian crisis in 97-98 and the Global crisis in 08-09. By using the daily KRW-USD and JPY-USD exchange rates which have different trading regions and volumes, this paper first applies both the parametric FIGARCH model and the semi-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated returns of the two exchange rates. Then it compares the effects of the two financial crises on the long memory volatility dependency of the daily returns. The estimation results reflect that the long memory volatility dependency of the KRW-USD is generally greater than that of the JPY-USD returns and the long memory dependency of the two returns appears to be invariant to temporal aggregation. And, the two financial crises appear to affect the volatility dynamics of all the returns by inducing greater long memory dependency in the volatility process of the exchange returns, but the degree of the effects of the two crises seems to be different on the exchange rates.

Abstract

This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns focusing on the Asian crisis in 97-98 and the Global crisis in 08-09. By using the daily KRW-USD and JPY-USD exchange rates which have different trading regions and volumes, this paper first applies both the parametric FIGARCH model and the semi-parametric Local Whittle method to estimate the long memory volatility dependency of the daily returns and the temporally aggregated returns of the two exchange rates. Then it compares the effects of the two financial crises on the long memory volatility dependency of the daily returns. The estimation results reflect that the long memory volatility dependency of the KRW-USD is generally greater than that of the JPY-USD returns and the long memory dependency of the two returns appears to be invariant to temporal aggregation. And, the two financial crises appear to affect the volatility dynamics of all the returns by inducing greater long memory dependency in the volatility process of the exchange returns, but the degree of the effects of the two crises seems to be different on the exchange rates.

참고문헌 (39)

  1. Andersen, T. G., "Intraday periodicity and volatility persistence in financial markets", Journal of Empirical Finance, 4(2-3), pp.115~158 (1997)
  2. Micro effects of macro announcements: Real-time price discovery in foreign exchange, "Andersen, T. G.", NBER, ~, pp.Working Paper, No. 8959 (2002)
  3. Baillie, R. T., "Long memory processes and fractional integration in Econometrics", Journal of Econometrics, 73(1), pp.5~59 (1996)
  4. Baillie, R. T., "Fractionally integrated generalized autoregressive conditional heteroskedasticity", Journal of Econometrics, 74(1), pp.3~30 (1996)
  5. Baillie, R. T., "High Frequency Deutsche Mark-US Dollar returns: FIGARCH representations and non-linearities", Multinational Finance Journal, 4(3&4), pp.247~267 (2000)
  6. Baillie, R. T., "Merging the Stochastic with the Nonlinear Deterministic : the Case of High Frequency European Exchange Rates", Journal of International Financial Markets, Institutions & Money, 14(5), pp.401~418 (2004)
  7. Baillie, R. T., "Long memory models for daily and high frequency commodity futures prices", Journal of Futures Market, 27(7), pp.643~668 (2007)
  8. Bollerslev, T., "Quasi-maximum likelihood estimation of dynamic models with time varying covariances", Econometric Reviews, 11(2), pp.143~172 (1992)
  9. Bollerslev, T., "Semiparametric estimation of long memory volatility dependencies : The role of high frequency data", Journal of Econometrics, 98(1), pp.81~106 (2000)
  10. Breidt, F. J., "The detection and estimation of long memory in stochastic volatility", Journal of Econometrics, 83(1-2), pp.325~348 (1998)
  11. Choi, K., "Long memory and structural changes in the forward discount : An empirical investigation", Journal of International Money and Finance, 26(3), pp.342~363 (2007)
  12. Diebold, F. X., "Long memory and regime switching", Journal of Econometrics, 105(1), pp.131~159 (2001)
  13. Ding, Z., "A long memory property of stock market returns and a new model", Journal of Empirical Finance, 1(1), pp.83~106 (1993)
  14. What explains global exchange rate movements during the financial crisis?, "Fratzscher, M", ECB, ~, pp.Working Paper, No. 1060 (2009)
  15. Review of theories of financial crises, "Goldstein, I.", NBER, ~, pp.Working Paper, No. 18670 (2013)
  16. Granger, C. W. J., "Some properties of absolute returns:an alternative measure of risk", Annales d’Economie et de Statistique, 40, pp.67~92 (1995)
  17. Granger, C. W. J., "Occasional structural breaks and long memory with an application to the S&P500 absolute stock returns", Journal of Empirical Finance, 11(3), pp.399~421 (2004)
  18. Granger, C. W. J., "An introduction to long memory time series models and fractional differencing", Journal of Time Series Analysis, 1(1), pp.15~29 (1980)
  19. Granger, C. W. J., "A nonlinear time series model with misleading linear properties", Economics Letters, 62(2), pp.161~165 (1999)
  20. Han, Y. W, "Long memory volatility dependency, temporal aggregation and the Korean currency crisis: the role of a high frequency Korean Won (KRW)-US Dollar ($) exchange rate", Japan and the World Economy, 17(1), pp.97~109 (2005)
  21. Young Wook Han, "The Effects of US Macroeconomic Surprises on the Intraday Movements of Foreign Exchange Rates: Cases of USD-EUR and USD-JPY Exchange Rates", International Economic Journal, 24(3), pp.375~396 (2010), 한국국제경제학회
  22. Hosking, J. R. M, "Fractional differencing", Biometrika, 68(1), pp.165~176 (1981)
  23. Jeon, B. N., "The impact of the Asian financial crisis on foreign exchange market efficiency: the case of East Asian countries", Pacific Basin Finance Journal, 11(4), pp.509~525 (2003)
  24. Leading indicators of currency crisis, "Kaminsky, G.", IMF, 1~48, pp.Staff Papers, vol. 45 (1998)
  25. 강상훈, "ASYMMETRY AND LONG MEMORY FEATURES IN VOLATILITY: EVIDENCE FROM KOREAN STOCK MARKET", The Korean Economic Review, 24(2), pp.383~412 (2008), 한국경제학회
  26. Kim, J. S, "Asymmetric volatility spillovers in the Korean foreign exchange market", Bank of Korea Economic Papers, 4(2), pp.42~57 (2001)
  27. Kim, S., "Korean currency crisis and regime change:A multivariate GARCH model with Bayesian approach", Asia-Pacific Financial Markets, 7(1), pp.31~44 (2000)
  28. Kohler, M, "Exchange rates during financial crises", BIS Quarterly Review, (March), pp.39~50 (2010)
  29. Lamoureux, C. G., "Persistence in variance, structural change and the GARCH model", Journal of Business and Economic Statistics, 8(2), pp.225~234 (1990)
  30. Lee, J, "Change in volatility in the won", U.S. dollar daily exchange rate:stochastic volatility model, 2000, pp.7(1), 83~96
  31. The crisis in the foreign exchange market, "Melvin, M.", CEPR, ~, pp.Discussion Papers No. 7472 (2009)
  32. Park, Y. C., "Fear of Floating: Korea’s Exchange Rate Policy after the Crisis", Journal of Japan and International Economies, 15(2), pp.225~251 (2001)
  33. Local Whittle estimation in nonstationary and unit root cases, "Phillips, P. C. B.", Yale University, ~, pp.Cowles Foundation Discussion Paper, No. 1266 (2000)
  34. Radelet, S., "The East Asia financial crisis: diagnosis, remedies and Prospec" (1998), Harvard Institute for International Development
  35. Currency and financial crises of the 1990s and 2000s, "Razin, A.", NBER, ~, pp.Working Paper, No. 16754 (2011)
  36. Robinson, P. M, "Gaussian semiparametric estimation of long range dependence", Annals of Statistics, 23(5), pp.1630~1661 (1995)
  37. Modified Local Whittle estimation of memory parameter in the nonstationary case, "Shimotsu, K.", Yale University, ~, pp.Cowles Foundation Discussion Paper, No. 1265 (2000)
  38. Taqqu, M. S., "Robustness of Whittle type estimators for time series with long-range dependence", Stochastic Models, 13(4), pp.723~757 (1997)
  39. Taqqu, M. S., "A Practical Guide to Heavy Tails", pp.177~217 (1998), Birkhauser

관련 논문AI추천

Structural Breaks and Long Memory Property in Korean Won Exchange Rates: Adaptive FIGARCH Model한영욱대외경제정책연구원 · East Asian Economic Review2011 · 제15권 제2호Potential Sources of the Long Memory Property in the Volatility Process of Daily KRW-USD Exchange Rates : Jumps and Structural Breaks한영욱보험연구원 · 보험금융연구2011 · 제22권 제1호Macroeconomic Shocks and Jumps in the Long Memory Models of Daily KRW-USD and KRW-JPY Foreign Exchange Rates한영욱경제연구소 · Seoul Journal of Economics2008 · 제21권 제4호A Fractional Integration Analysis on Daily FX Implied Volatility: Long Memory Feature and Structural Changes한영욱경영경제연구소 · 아태비즈니스연구2022 · 제13권 제2호Quantitative Comparisons on the Intrinsic Features of Foreign Exchange Rates Between the 1920s and the 2010s: Case of the USD-GBP Exchange Rate한영욱대외경제정책연구원 · East Asian Economic Review2016 · 제20권 제3호Empirical comparisons on the effects of the US and the Japan quantitative easing policies on the Asian exchange rates한영욱예금보험공사 · 금융안정연구2017 · 제18권 제2호

이 간행물의 다른 논문 (3건)

The Impact of Outward FDI on the South Korean Labor Market: Evidence on the Wages of Four Types of Workers김홍민, 이홍식, 심순형pp. 29-54Decoupling and Sources of Structural Transformation of East Asian Economies: An International Input-Output Decomposition Analysis고종환, Werner Paschapp. 55-81Trade in Cultural Goods: A Case of the Korean Wave in AsiaYoung Seaon Parkpp. 83-107
원문 보기