본문 바로가기
KERD
논문KCI 등재

THE VOLATILITY OF THE WON-DOLLAR EXCHANGE RATE DURING THE 2008-9 CRISIS

0

조회

0

다운로드

0

인용

0

참고문헌

키워드

주제분류경제학

초록

This paper estimates the volatility of the won-dollar exchange rate during the 2008-9 crisis. We find that the volatility increased in September 2008 and decreased in May 2009. The volatility rose gradually for one month and subdued in a similar manner, which implies that the volatility was not governed by any specific event or government policy. The overall changes in the volatility are similar to the movements of the CDS premium. We also find that the UK foreign exchange market experienced a similar pattern of volatility shifts and suffered smaller but longer volatility than the Korean one. The volatility shifts are estimated using a Markov switching GARCH model and a Bayesian method is suggested.

Abstract

This paper estimates the volatility of the won-dollar exchange rate during the 2008-9 crisis. We find that the volatility increased in September 2008 and decreased in May 2009. The volatility rose gradually for one month and subdued in a similar manner, which implies that the volatility was not governed by any specific event or government policy. The overall changes in the volatility are similar to the movements of the CDS premium. We also find that the UK foreign exchange market experienced a similar pattern of volatility shifts and suffered smaller but longer volatility than the Korean one. The volatility shifts are estimated using a Markov switching GARCH model and a Bayesian method is suggested.

참고문헌 (41)

  1. Aghion, P, "Exchange Rate Volatility and Productivity Growth: The Role of Financial Development", Journal of Monetary Economics, 56(4), pp.494~513 (2009)
  2. Bacchetta, P, "Does Exchange-Rate Stability Increase Trade and Welfare?", The American Economic Review, 90(5) (2000)
  3. Mohsen Bahmani-Oskooee, "EXCHANGE-RATE VOLATILITY AND INDUSTRY TRADE BETWEEN THE U.S. AND KOREA", Journal of Economic Development, 37(1), pp.1~27 (2012), 경제연구소
  4. Bauwens, L, "Bayesian Inference in Dynamic Econometric Models" (1999), Oxford University Press
  5. Does Exchange Rate Risk Matter for Welfare?, "Bergin, P.R", ~, pp.NBER Working Papers, 9900 (2003)
  6. Bollerslev, T, "Generalized Autoregressive Conditional Heteroskedasticity", Journal of Econometrics, 31, pp.307~327 (1986)
  7. Cai, J, "A Markov Model of Unconditional Variance in ARCH", Journal of Business and Economic Statistics, 12, pp.309~316 (1994)
  8. 최경욱, "Explaining the Relationship between Exchange Rate Volatility and International Trades", 사회과학연구, 36(1), pp.1~19 (2010), 사회과학연구원
  9. Fluctuations in Exchange Rates and the Carry Trade, "Chung, K", ~, pp.Bank of Korea Working Paper, 405 (2009)
  10. Clark, P.B, "Uncertainty, Exchange Risk, and the Level of International Trade", Western Economic Journal, 11, pp.302~313 (1973)
  11. Exchange Rate Volatility and Trade Flows: Some New Evidence, "Clark, P", ~, pp.IMF Working Paper (2004)
  12. Das, D, "A Bayesian MCMC Algorithm for Markov Switching GARCH Models", 2004 Far Eastern Meetings of the Econometric Society (2004)
  13. Dell Ariccia, G, "Exchange Rate Fluctuations and Trade Flows: Evidence from the European Union", IMF Staff Papers, 46(3), pp.315~334 (1999)
  14. Devereux, M.B, "Exchange Rate Pass-Through, Exchange Rate Volatility, and Exchange Rate Disconnect", Journal of Monetary Economics, 49(5), pp.913~940 (2002)
  15. Dominguez, K.M, "Central Bank Intervention and Exchange Rate Volatility", Journal of International Money and Finance, 17, pp.161~190 (1998)
  16. Dueker, M.J, "Markov Switching in GARCH Processes and Mean-Reverting Stock Market Volatility", Journal of Business and Economic Statistics, 15, pp.26~34 (1997)
  17. Engle, R. F, "Autoregressive Conditional Heteroskedasticity with Estimates of the Variance of United Kingdom Inflation", Econometrica, 50, pp.987~1008 (1982)
  18. Frenkel, M, "The Effects of Japanese Foreign Exchange Market Interventions on the Yen", U.S. Dollar Exchange Rate Volatility, 2005, pp.14(1), 27~39
  19. Frommel, M, "Order Flows, News, and Exchange Rate Volatility", Journal of International Money and Finance, 27(6), pp.994~1012 (2008)
  20. Gal, J, "Monetary Policy and Exchange Rate Volatility in a Small Open Economy", Review of Economic Studies, 72(3), pp.707~734 (2005)
  21. Gray, S, "Modeling the Conditional Distribution of Interest Rates as a Regime-Switching Process", Journal of Financial Economics, 42, pp.27~62 (1996)
  22. Hamilton, J.D, "Autoregressive Conditional Heteroskedasticity and Changes in Regime", Journal of Econometrics, 64, pp.307~333 (1994)
  23. Hau, H, "Real Exchange Rate Volatility and Economic Openness: Theory and Evidence", Journal of Money, Credit and Banking, 34(3), pp.611~630 (2002)
  24. MCMC Methods for Continuous-Time Financial Econometrics, "Johannes, M", ~, pp.Social Science Research Network Working Paper (2003)
  25. 강장구, "외환시장의 구두개입 영향에 관한 실증분석", 금융연구, 11(2), pp.35~65 (2006), 한국금융학회
  26. Kaufmann, S, "Bayesian Analysis of Switching ARCH Models", Journal of Time Series Analysis, 23, pp.425~458 (2002)
  27. Kim, K.S, "Effects of Uncertainty in the Korean Foreign Exchange Market on Exports", Journal of International Economic Studies (2003)
  28. Klaassen, F, "Improving GARCH Volatility Forecasts with Regime-Switching GARCH", Empirical Economics, 27, pp.363~394 (2002)
  29. Koren, M, "Exchange Rate Uncertainty and Export Prices" (2003), Harvard University
  30. Marcucci, J, "Forecasting Stock Market Volatility with Regime-Switching GARCH Models", Studies in Nonlinear Dynamics and Econometrics, 9 (2005)
  31. Nakatsuma, T, "Bayesian Analysis of ARMA-GARCH Models: A Markov Chain Sampling Approach", Journal of Econometrics, 95, pp.57~69 (2000)
  32. Risk and Exchange Rates, "Obstfeld, M", ~, pp.NBER Working Papers Series, 6694 (1998)
  33. 박해식, "구두개입과 환율변동성에 관한 실증연구 : 2000~2003년의 일본을 대상으로", 금융연구, 20(1), pp.89~130 (2006), 한국금융연구원
  34. Rapach, D. E., "Structural Breaks and GARCH Models of Exchange Rate Volatility", Journal of Applied Econometrics, 23, pp.6590~ (2008)
  35. Serge Rey, "Effective Exchange Rate Volatility and MENA Countries' Exports to the EU", Journal of Economic Development, 31(2), pp.23~54 (2006), 경제연구소
  36. Robert, C.P, "Monte Carlo Statistical Methods" (1999), Springer-Verlag New York
  37. Rose, A.K, "One Money, One Market: The Effect of Common Currencies on Trade", Economic Policy, pp.9~45 (2000)
  38. Sercu, P, "Exchange Rate Volatility and International Trade: A General-Equilibrium Analysis", European Economic Review, 47, pp.429~441 (2003)
  39. Tenreyro, S, "On the Trade Impact of Nominal Exchange Rate Volatility", Journal of Development Economics, 82(2), pp.485~508 (2007)
  40. Watanabe, T, "Effects of the Bank of Japan’s Intervention on Yen", Dollar Exchange Rate Volatility, 2006, pp.20(1), 99~111
  41. Yoo, B.H, "Estimating the Term Premium by a Markov Switching Model with ARMA-GARCH Errors", Studies in Nonlinear Dynamics & Econometrics, 14(2) (2010)

관련 논문AI추천

이 간행물의 다른 논문 (4건)