• International Area Studies Review
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• v.13 no.2
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• pp.298-324
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• 2009

The purpose of this paper is to examine the effect of the Korean won exchange rates on the Korean service trade balance. Empirical investigation shows that the USD/KRW and JPY/KRW exchange rates have main effects on the Korean service trade balance. Service balance credit and debit(receipts and payments) are negatively related with the USD/KRW and positively related with the JPY/KRW exchange rate. The depreciation of the USD/KRW and JPY/KRW exchange rates leads to the improvement of the service trade balance. Transportation balance is affected by the USD/KRW, JPY/KRW, and CNY/KRW exchange rates, travel balance by the USD/KRW exchange rate, and other business sevice balance by the USD/KRW and JPY/KRW exchange rates.

• The Korean Journal of Financial Management
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• v.17 no.2
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• pp.211-227
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• 2000

본 연구는 외환위기 이후 1998년 10월부터 2000년 3월까지의 일별 데이터를 사용하여 원/달러 역내시장과 역외시장간의 가격정보 이전에 관한 동조화여부를 실증분석 하였다. 원/달러 역내시장의 가격대용으로 원/달러 현물환율을 사용하였으며, 원/달러 역외시장의 가격대용으로 원/달러 역외선물환율인 NDF 1개월물을 사용하였다. 수익률이 중심이 된 기존의 많은 인과관계 연구들과는 달리 본 연구에서는 환율의 변화율에 대한 그랜져 인과관계 분석과 함께 이변량 GARCH모형을 이용하여 두 시장간에 있어서의 환율의 변화율과 변동성의 인과관계를 분석하였다. 그랜져 인과관계분석 결과 현물환율은 역외선물환율에 대해 강한 선도관계를 가지며 상대적으로 약하지만 역외선물환율 또한 현물환율에 대해 선도관계를 가지는 것으로 나타났다. 본 연구에 사용된 이변량 GARCH모형은 AR(1)-GARCH(1,1)모형으로서 분식 결과를 보면 조건부 변동성이 두 시장간에 상호의존적이며 한 시장의 변화율충격이 다른 시장의 변동성에 영향을 미치는 것이 양 시장간에 유의적으로 나타났다. 이는 현물환시장의 거래정보가 역외선물환시장의 가격형성에 영향을 미치며 역외선물환시장 거래정보 또한 현물환시장으로 이전되어 원/달러 역내시장과 역외시장이 잘 동조화 되어 있다고 말할 수 있다. 즉 정보가 먼저 한 시장에 반영 된 후 다른 시장에 전달되는 정보의 일방 통행적 흐름이 아니라 정보의 반영이 두 시장에서 동시에 이루어지고 정보의 흐름이 양방향으로 이루어짐을 알 수 있다.

• Journal of the Korea Convergence Society
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• v.8 no.10
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• pp.231-238
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• 2017

In this study, we selected interest rates and won/dollar, won/yen, won/yuan to find out the indicators affecting domestic exports in the age of convergence. Correlation, regression analysis, indicator analysis and model analysis were performed for 210 months since January 2000. As a result, the correlation between exports and won/dollar, won/yuan, won/yen was negative(-). Therefore the directions were different from each other. In regression analysis, only interest rate and won/dollar were statistically significant for export. In the coefficient, interest rate calculated positive(+) and won/dollar was negative(-). It is interpreted that the won/dollar depreciation positively affects export growth. In this study if the won/dollar exchange rate falls, exports will increase. This is different from previous studies. Therefore, it is necessary to review the posterior relationship by time difference. Korea is highly dependent on exports. Therefore, the study on the indicators affecting exports to increase exports should continue.

• International Area Studies Review
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• v.21 no.2
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• pp.3-20
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• 2017

Traditional co-integration analysis method is known to be difficult to clearly determine the relationship between the cointegrated variables. This study utilizes a fractional cointegation method and a causal analysis of time and frequency domain among the exchange rates of Korea, China and Japan. The results show that even though traditional cointegration methods did not clarify the existence of cointegration, exchange rates were fractionally cointegrated. Causal analysis of time domain and frequency domain provided somewhat different results, but the yen/dollar was useful for forecasting won/dollar and yuan/dollar. Proper use of causal analysis of frequency domain and fractional cointegration emthods may provide useful information that can not be explained from the traditional method.

• Journal of Korean Electronics
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• v.25 no.1
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• pp.11-14
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• 2005

원달러 강세는 과거 고도성장기에 수입가격 하락 및 물가 안정을 통해 내수 살리기 효과를 보여주었지만 내수부진에 시달리는 작금에 와서 원달러 강세는 우리 경제의 최대장애물로 등장하며 '마른 수건도 다시 짜야 한다'는 수준의 극단적 경영 불안감을 다시 환기시키고 있다. 환율변동과 국내 IT산업 그리고 기업들의 대응전략을 조명해본다.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.10 no.5
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• pp.1043-1051
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• 2009

This study intends to discuss the influence on behaviors of won/dollar exchange rate after a FTA between Korea and US come into effect. The change of behaviors of won/dollar exchange rate has been looked into concerning other countries who have signed a FTA pact with the US, and these examples were compared with that of Korea so as to find similarities and differences. As a result of analyses, behaviors of exchange rate between FTA-pact countries were showed differently. Volatility and risk premium somewhat decreased after the FTA took effect except for Chile. As for Chile, showing intense volatility, foreign exchange risk premium rather increased. It can be concluded that the relationship between volatility and risk premium of individual exchange rate is established and FTA can influence change of these behaviors of exchange rate depending on the situation of individual country. This study will contribute to offer informations to Korea trading companies related to IT that will have to prepare for the uncertainties of change of exchange rate due to FTA between Korea and US.

• 사료
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• s.37
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• pp.10-14
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• 2009

• The Korean Journal of Financial Studies
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• v.2 no.2
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• pp.367-382
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• 1995

본 연구에서는 시장평균환율제가 시행된 시점인 1990년 3월 2일부터 1991년 12윌 31일까지의 국내 원/달러 외환시장을 대상으로 선도환가격의 미래 예측기능, 즉 미래의 현물환율에 대한_불편추정치로서의 선도환율의 역할을 실증적으로 검증하였다. 국내 시중은행에서 거래한 달러 대비 원화의 현물환율과 1개월 만기의 선도환율 자료를 사용한 실증분석결과에 의하면, 현물환율은 선도환이 예측한 방향과는 반대의 방향으로 움직이거나 예측한 수준에 크게 벗어나고 있다. 그러나, 외환시장에 큰 영향을 준 것으로 보여지는 동 서독 통합과 중동전쟁을 기준으로 분석대상기간을 두개의 하부기간으로 나누어 다시 추정한 결과에 의하면, 선도환가격이 미래 현물환율에 대한 불편추정치라는 가설을 기각하지 못하고 있다. 이러한 결과는 환율변화에 대한 확율분포가 시간경과에 따라 크게 변하고 있으며, 실증분석에서는 이러한 분포의 시간종속성을 반드시 고려하여야 한다는 것을 시사하고 있다. 또한, 다른 외국통화에 대한 실증분석에서는 나타나지 않는 결과로서, 이는 우리나라 외환시장의 특성을 반영하고 있는 것으로 해석된다. 시장평균환율제가 변동폭을 제한하고 있으며 분석대상 기간 동안은 환율변동이 비교적 안정적이기 때문에, 선도환가격의 결정도 비교적 안정적으로 이루어 질 수 있었다. 이와 같은 요인들에 의하여, 현물환율의 변동이 매우 심한 다른 외국통화에 비하여, 원화 환율의 경우에는 선도환가격은 만기시의 현물환율에 근접하는 경향을 보이게 된 것으로 보여진다.

• The Korean Journal of Financial Management
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• v.21 no.1
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• pp.231-253
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• 2004

We examine hedge strategies that use Won-dollar futures to hedge the price risk of the Won-dollar exchange rate. We employ the naive hedge model, minimum variance hedge model and bivariate ECT-ARCH(1) model as hedge instruments, and analyze their hedge performances. The sample period covers from January 2, 2001 to December 31, 2002 with sub-samples such as daily, weekly, bi-weekly prices of the Won-dollar futures and cash. The important findings may be summarized as follows. First, there is no significant difference in hedge ratio between the risk minimum variance model and bivariate ECT-ARCH(1) model that controls for the cointegration relationship of the Won-dollar futures and cash. Second, hedge performance of the naive model and minimum variance model with constant hedge ratios is not far behind that of bivariate ECT-ARCH(1) model with time-varying hedge ratios. This results imply that investors are encouraged to use the minimum variance hedge model to hedge Won-dollar exchange rate with Won-dollar futures. Third, hedge performance and effectiveness of each model is also analyzed with respect to hedge period appear to be greater over long than over the short period. This evidence supports the hypothesis that futures prices would have more time to respond to the greater cash price changes over the longer holding period, leading to an improved hedge performance.

• Journal of the Korean Data and Information Science Society
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• v.27 no.6
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• pp.1547-1555
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• 2016

The variability of exchange rate influences on the various aspect, especially economics, social phenomenon, industry, and culture of the country. In this article, time series model that won/yen exchange rate can be explained by won/dollar exchange rate has been studied. Daily exchange rate data have been used from January 1, 1999 to December 31, 2015. The daily data divided into two period based on the world financial crisis, September 13, 2008. The first period was January 1, 1999 through September 12, 2008 and the second period was October 1, 2008 through December 31, 2015. The AR+IGARCH (1, 1) model has been used for analyzing the variability of exchange rate. In both first period and second period, the estimation of won/yen exchange rate are somewhat underestimated compared with the actual value.