• 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.

• The Journal of Fisheries Business Administration
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• v.40 no.3
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• pp.169-187
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• 2009

This study analyzes the long and short term effect of exchange rate on the import of Korea's fisheries focussed on main fisheries imported from China. The estimation models consist of the following contents. The first model consists of one dependent variable-import quantity of fisheries imported from China(${IMQ_t}^{CHO}$) and three independent variables-${RP_t}^{CHO}$, $EXC_t$ and $GDP_t$. The second one-one dependent variable-import quantity of fisheries imported from China(${JMQ_t}^{NAG})$ and three independent variables-${RP_t}^{NAG}$, $EX_t$ and $GDP_t$. the third one-one dependent variable-import quantity of fisheries imported from China(${IMQ_t}^{AH}$) and three independent variables-${RP_t}^{AH}$, $EX_t$ and $GDP_t$. the forth one-one dependent variable-import quantity of fisheries imported from China(${IMQ_t}^{KO}$) and three independent variables-${RP_t}^{KO)$, $EX_t$ and $GDP_t$. the last one is made up of one dependent variable-import quantity of fisheries imported from China(${IMQ_t}^{GAL}$) and three independent variables-, ${RP_t}^{GAL}$, $EX_t$ and $GDP_t$. and. The estimation results show that exchange rate of the independent variables are statistically significant in only the first model. The figure is elastic. Especially, the effect of exchange rate in first model is grater than that of the. However, the effect of exchange rate, one of independent variables in the ECM, is not statistically significant.

• Asia-pacific Journal of Multimedia Services Convergent with Art, Humanities, and Sociology
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• v.7 no.11
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• pp.71-79
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• 2017

In this paper, we implemented the exchange rate forecasting neural network using heterogeneous computing. Exchange rate forecasting requires a large amount of data. We used a neural network that could leverage this data accordingly. Neural networks are largely divided into two processes: learning and verification. Learning took advantage of the CPU. For verification, RTL written in Verilog HDL was run on FPGA. The structure of the neural network has four input neurons, four hidden neurons, and one output neuron. The input neurons used the US $ 1, Japanese 100 Yen, EU 1 Euro, and UK £ 1. The input neurons predicted a Canadian dollar value of $ 1. The order of predicting the exchange rate is input, normalization, fixed-point conversion, neural network forward, floating-point conversion, denormalization, and outputting. As a result of forecasting the exchange rate in November 2016, there was an error amount between 0.9 won and 9.13 won. If we increase the number of neurons by adding data other than the exchange rate, it is expected that more precise exchange rate prediction will be possible.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.8
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• pp.41-49
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• 2020

This study investigates the short-run and long-run causal behavior of the Philippine stock market index volatility under vector error correction environment. The variables were tested first for stationarity and then long-run equilibrium relationship. Moreover, an impulse response function was estimated to examine the extent of innovations in the independent variables in explaining the Philippine stock market index volatility. The results reveal that the volatility of the Philippine stock market index exhibit long-run equilibrium relationship with Peso-Dollar exchange rate, London Interbank Offered Rate, and crude oil prices. The short-run dynamics-based VECM estimates indicate that in the short-run, increases (i.e., depreciation) in Peso-Dollar exchange rate cause PSEI volatility to increase. As for the London Interbank Offered Rate, it causes increases in PSEI volatility in the short-run. The adjustment coefficients used with the long-run dynamics validates the presence of unidirectional causal long-run relationship from Peso-Dollar exchange rate, London Interbank Offered Rate, and crude oil prices to PSEI volatility, and bidirectional causal long-run relationship between PSEI volatility and London Interbank Offered Rate. The impulse response functions developed within the VECM framework demonstrate the positive and negative reactions of PSEI volatility to unanticipated Peso-Dollar exchange rate, London Interbank Offered Rate, and crude oil price shocks.

• Journal of Advanced Marine Engineering and Technology
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• v.27 no.6
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• pp.797-805
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• 2003

This paper describes experimental investigations of helium-air exchange flow through single opening and partitioned opening. Such exchange flows may occur following rupture accident of stand pipe in high temperature gas cooled reactor. A test vessel with a small opening on top of test cylinder is used for experiments. An estimation method of mass increment is developed and applied to measure the exchange flow rate. A technique of flow visualization by Mach-Zehnder interferometer is provided to recognize the exchange flows. Flow measurements are made with the opening, for partition ratios H_p/H$_1$$ in the range 0 to 1. where H_p$ and H$_1$ are partition length and height of the opening. respectively. In the case of H_p/H$_1$$ of 0, flow passages of upward flow of the helium and downward flow of the air within the opening are unseparated (bidirectional), and the two flows interfere within the opening. The unseparated flow increases strength of flow resistance and therefore, the exchange flow rate is minimum through range of the partition ratios. Two flow zones, i.e., separated (unidirectional) flow zone and unseparated (bidirectional) flow zone, exist with increasing the partition length. The exchange flow rate increases with increasing the separated flow zone. It is found that a maximum exchange flow rate exists at H_p/H$_1$$ of 1. As a result of comparison of the exchange flow rates by changing the partition ratio, the fluids Interference in the unseparated zone is found to be an important factor on the helium-air exchange flow rate.

• Journal of Advanced Marine Engineering and Technology
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• v.23 no.2
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• pp.192-200
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• 1999

This paper describes experimental investigations of helium-air exchange flow through parti-tioned opening. Such exchange flow may occur following rupture accident of stand pipe in high temperature gas cooled reactor. A test vessel with a opening on top of test cylinder is used for experiments. An estimation method of mass increment is developed and applied to measure the exchange flow rate. A technique of flow visualization by Mach-Zehnder interferometer is provided to recognize the exchange flows. Flow measurements are made with partitioned opening for parti-tion rations $H_p/H_1$ in the range 0 to 1 where $H_p$ and $H_1$ are partition length and height of the open-ing respecticely. In the case of $H_p/H_1$ of 0 flow passages of upward flow of the helium and down-ward flow of the air within the opening are unseparated (bidirectional) and the two flows interact exchange flow rate is minimum through range of the partition ratios, Two flow zones i.e. separat-ed(unidirectional)flow zone and unseparated(bidirectional) flow zone exist with increasing the partition. length, The exchange flow rate increases with increasing the separated flow zone. It is found that a maximum exchange flow rate exists at $H_p/H_1$ of 1. As a result fo comparison of the exchange flow rates by changing the partition ration the fluids interaction in the unseparated zone is found to be an important factor on the helium-air exchange flow rate.

• Journal of the Korean Operations Research and Management Science Society
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• v.9 no.2
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• pp.34-45
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• 1984

The aim of this study is to investigate efficiency of foreign exchange markets for 8 currencies for the floating rate regime 1974～1982 by comparison of various foreign exchange rate forecasting models’performances. The author presents evidences showing that efficient market hypothesis was not supported.

• International Commerce and Information Review
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• v.12 no.1
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• pp.99-121
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• 2010

This paper reviews the categories and properties of risk measures, analyzes the classes and structural equations of volatility forecasting models, and presents the practical methodologies and their expansion methods of estimating and forecasting the volatilities of exchange rates using Excel spreadsheet modeling. We apply the GARCH(1,1) model to the Korean won(KRW) denominated daily and monthly exchange rates of USD, JPY, EUR, GBP, CAD and CNY during the periods from January 4, 1998 to December 31, 2009, make the estimates of long-run variances in the returns of exchange rate calculated as the step-by-step change rate, and test the adequacy of estimated GARCH(1,1) model using the Box-Pierce-Ljung statistics Q and chi-square test-statistics. We demonstrate the adequacy of GARCH(1,1) model in estimating and forecasting the volatility of exchange rates in the monthly series except the semi-variance GARCH(1,1) applied to KRW/JPY100 rate. But we reject the adequacy of GARCH(1,1) model in estimating and forecasting the volatility of exchange rates in the daily series because of the very high Box-Pierce-Ljung statistics in the respective time lags resulting to the self-autocorrelation. In conclusion, the GARCH(1,1) model provides for the easy and helpful tools to forecast the exchange rate volatilities and may become the powerful methodology to overcome the application difficulties with the spreadsheet modeling.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.7
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• pp.393-402
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• 2021

This study aims to examine whether symmetric effects or asymmetric effects of exchange rates exist in determining the money demand in Indonesia. Simple-sum money and Divisia money were included in different models for comparison due to the financial developments in Indonesia. This study uses time-series data from 1996Q1 to 2019Q4 for the estimation. The nonlinear autoregressive distributed lag (NARDL) model is utilized to verify the asymmetric effects of exchange rates on money demand. The Augmented Dickey-Fuller and Phillips-Perron unit root tests were performed to verify the order of integration of the variables. The findings of this study revealed that the exchange rate is one of the most important determinants of money demand in Indonesia and the effect is asymmetric. The findings further indicated that money demand function, which incorporates Divisia monetary aggregate is parsimonious. Monetary targets such as money supply and interest rates are critical for monetary policy conduct to achieve inflation levels set by government. As the adoption of an inflation targeting framework needs to be in keeping with the flexible exchange rate system, the asymmetric effect of exchange rate changes can be used in exchange rate policy conduct to achieve financial system and price stability.

• East Asian Economic Review
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• v.22 no.3
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• pp.371-400
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• 2018

Although asset price is an important factor in determining changes in external balances, no studies have investigated it from the Chinese perspective. In this study, I empirically examine the underlying driving forces of China's trade balances, particularly the role of asset price and the real exchange rate. To this end, I estimate a sign-restricted structural vector autoregressive model with quarterly time series data for China, using the Bayesian method. The results show that changes in asset price affect China's trade balances through private consumption and investment. Also, an appreciation of the real exchange rate tends to deteriorate trade balances in China. Furthermore, forecast error variance decomposition results indicate that changes in asset price (stock price and housing price) explain about 20% variability of trade balances, while changes in the real exchange rate can explain about 10%.