• 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.

• KDI Journal of Economic Policy
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• v.16 no.3
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• pp.69-96
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• 1994

본(本) 연구(硏究)는 국내(國內) 증시개방(證市開放)이 원화환율(貨換率)에 미친 영향(影響)에 대하여 이론적(理論的)인 모형(模型) 제시(提示)와 함께 실증분석(實證分析)을 시도하였다. 시간변동계수모형(時間變動係數模型)을 이용한 환율방정식(換率方程式) 추정결과에 의하면 1980년대 말 이후부터 증시(證市)를 통한 해외자금 유출입에 직접적인 영향을 주는 국내외(國內外) 주식수익율(株式收益率) 격차(隔差)의 환율절상효과(換率切上效果)가 지속적으로 증가(增加)한 것으로 나타났다. 반면 80년대에 걸쳐 주된 환율결정요인이었던 경상수지(經常收支)는 90년대 들어 환율변동에 미친 영향력이 현저하게 약화(弱化)된 것으로 나타났다. 이는 외환(外換)및 자본규제정책(資本規制政策)의 변화 등 구조변화(構造變化)에 기인된 현상으로 판단되며, 90년대에 들어서면서 환율(換率)이 경상수지보다는 경상수지와 자본수지를 더한 종합수지(綜合收支)에 더 큰 영향(影響)을 받고 있음을 의미한다. 위의 분석결과는 증시의 추가개방 등 자본자유화가 확대될 경우 원화절상압력(貨切上壓力)이 가중되고 이에 따른 수출경쟁력(輸出鏡爭力) 약화(弱化)로 종합수지(綜合收支)는 흑자(黑字)를 기록하면서 경상수지(經常收支) 적자(赤字)가 크게 늘어날 가능성이 있음을 시사한다. 따라서 수출경쟁력(輸出競爭力)을 유지하기 위해서는 실질실효환율(實質實效換率)기준으로 원화환율이 안정될 수 있도록 안정적(安定的)인 재정(財政) 통화운용(通貨運用)으로 대응해야 할 것이다.

• 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.

• The Korean Journal of Financial Studies
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• v.3 no.1
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• pp.329-357
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• 1996

본 논문은 확률적 변동성하의 통화옵션가격결정모형에 대하여 실증적으로 검증하였다. 연구결과 OTM, ATM, ITM에서 일정한 변동성을 가정하는 모형가격은 확률적 변동성하의 통화옵션가격결정모형에 비교하여 일치적으로 높게 나타나고 있으며 OTM옵션에 가격결정오차의 크기는 ATM 옵션보다 크게 나타나고 있다. 또한 옵션의 만기가 길수록 가격결정오차의 크기는 커진다는 것을 보여주고 있다. 확률적 변동성하의 통화옵션가격결정모형이 일정한 변동성을 가정하는 통화옵션가격결정모형보다 행사가격과 만기편의를 감소시키며 특히 단기의 만기를 가진 범위에서는 매우 큰 오차감소효과가 나타났다. 따라서 통화옵션가격결정모형을 이용하여 옵션가격을 예측함에 있어 환율변동성이 일정하다는 가정하에서 변동성을 모형에 투입하는 것보다는 환율변동성의 이분산성을 고려하여 추정된 변동성을 모형에 투입하는 것이 통화옵션가격의 예측력을 개선시킬 수 있다고 할 수 있다. 그리고 회귀분석결과 설명력을 나타내는 $R^2$값이 높게 나타나고 있으며, 확률적 변동성하의 통화옵션가격결정모형의 $R^2$값이 일정한 변동성을 가정하는 모형의 $R^2$보다는 높게 나타나고 있다.

• Journal of Industrial Convergence
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• v.20 no.6
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• pp.135-140
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• 2022

In the domestic stock market, the capital market opened in January 1992, and the proportion of foreign capital has steadily increased, accounting for 30% of the domestic market in Overall stock market trend infers that the domestic stock market is more influenced by foreign issues than domestic issues. The trading trend of foreign capital displays a similar flow to exchange rate fluctuations,; thus, preparing an investment strategy by using the Pearson analyzing method the effect of exchange rates of foreign capital trading, fluctuations in exchange rates, and predicting one of the macroeconomic indicators will yield high returns in the stock market. Therefore, this research was conducted to help investment by predicting foreign variables comparing and analyzing exchange rates and foreign capital trading patterns, and predicting appropriate time for buying and selling.

• Korea Trade Review
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• v.43 no.3
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• pp.169-198
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• 2018

The purpose of this paper is to investigate the impact of exchange rate volatility on the export of Korean machinery intermediate goods to East Asian countries using the export demand model. In order to secure the validity of the estimation of the exchange rate volatility for the export of machinery intermediate goods, various methods of volatility measurement are used including the GARCH model, the moving average standard deviation and the 12-month fixed average standard deviation. The long-term relationship between variables was analyzed by applying the panel cointegration tests and DOLS & FMOLS panel estimations. Analysis results found that prior to the global financial crisis in 2008, the total exports of machinery and exchange rate volatility positively affect the exports of intermediate goods such as general machinery, electronic machinery and transportation equipment, but did not affect the exports of precision machinery intermediate goods. After the global financial crisis, however, exchange rate volatility negatively affected total exports and the exports of all machinery intermediate goods. When analyzing the period before and after the global financial crisis, it had a positive impact on exports of precision machinery intermediate goods and a negative effect on total exports and the exports of other machinery intermediate goods.

• 주류공업
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• v.10 no.1
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• pp.8-13
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• 1990

• Korea Trade Review
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• v.42 no.4
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• pp.49-68
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• 2017

This paper investigates the spillover effect of the U.S. Interest on Korea's interest rate as well as the role of exchange rate in the spillover effects, by utilizing a open macro model on the determinants of long-term interest rates. According to the cointegration estimation and the Impulse response function, it is found that, across both long-term and short-term, there exist the spillover effect of the U.S. Interest on Korea's interest rate. The fiscal deficit and expected exchange rate have significantly positive relationship with the Koreas's long-term interest rate. Further, foreign exchange market intervention in Korea did not have significant effect on the spillover effect. Thus, this study suggests that exchange rate flexibility would not be enough to restrain the spillover effects of the U.S. interest rate.

• International Area Studies Review
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• v.14 no.3
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• pp.221-246
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• 2010

The paper is basically attempted to reveal a mechanism of exchange rate determination in global foreign exchange markets. For a theoretical framework, uncovered interest rate parity(UIRP), covered interest rate parity(CIRP), and real interest rate parity(RIRP) are tentatively adapted, and GARCH-M model is employed for an econometric methodology. Empirical evidence shows that the UIRP is superior to others, and the RIRP is better than the CIRP in explaining how exchange rates are determined in global exchange markets. All of them, however, is not fully supported by economic theories. Following Frankel(1989), country premium, volatility premium, and currency premium are evaluated to see if which premium is a crucial in disturbing the RIRP, and it is found that country and currency premiums are a major components in disturbing the RIRP. To this end, market-oriented and market-determined systems has to be built to avoid currency disputes which is undergoing hot issue in global foreign exchange market.

• KDI Journal of Economic Policy
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• v.31 no.2
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• pp.235-266
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• 2009

This paper investigates changes in the extent of exchange rate pass-through to export price in Korea. First, empirical results show that export prices have become less responsive to the exchange rate since the financial crisis in 1997. The decline of exchange rate pass-through to export prices suggests that Korean exporters are more likely to use profit margins to absorb part of the impact of exchange rate changes, consistent with pricing to market phenomenon. Second, this paper finds asymmetries in the response of export prices to exchange rate changes. In the post-crisis period. appreciations are more likely to be offset by markup adjustment than depreciations. Third, this paper documents that a significant portion of the decline of exchange rate pass-through is a result of both increased volatility of exchange rate and increased competition with China in the world market.