• The Journal of Asian Finance, Economics and Business
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• 제7권11호
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• pp.629-636
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• 2020

This study aims to identify and analyze the factors that affect foreign exchange reserves in Indonesia. We consider the variables of external debt, exchange rate, inflation, and exports as explanatory factors referring to previous studies. We apply the Autoregressive Distributed Lag approach to time-series data retrieved from the Central Bank of Indonesia (BI), the Central Bureau of Statistics (BPS), and International Monetary Funds (IMF) from January 2016 to December 2018. Our results show that foreign debt, exchange rates, inflation, and exports significantly affect the simultaneous fluctuation of foreign exchange reserves in Indonesia. Partially, foreign debt has a significant and positive effect on foreign exchange reserves. The exchange rate has a significant and negative effect on foreign exchange reserves in Indonesia. However, our findings explain that inflation does not significantly affect foreign exchange reserves in Indonesia, and exports have a significant and positive effect on foreign exchange reserves. This study is expected to be useful to policymakers in managing foreign exchange reserves, so the economy of Indonesia can grow sustainably. One of the exciting things in this study lies in the model that uses the Autoregressive Distributed Log, which can explain long-term relationships through adjusted coefficient and cointegration tests.

• 유통과학연구
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• 제14권12호
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• pp.79-87
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• 2016

Purpose - Since 1990, the sudden stop in capital flows has caused the economic crisis. The purpose of this research is to suggest the policy measures to mitigate the risk of the sudden stop in capital flows. To this end, we examine the theoretical framework and analyze the case study for countries which are faced with the sudden stop. Also we examine the structural problems of the foreign exchange market in Korea and derive the policy implications to prevent the sudden stop. Research design, data, and methodology - The criteria of whether the sudden stop in capital flows occurs are based upon Calvo et al. (2008). In case the proxy variable for the balance of capital account decreases from the average by over twice standard deviation, we determine that the sudden stop occurs for that country. The sample period is from January 1990 to December 2008, as in Calvo (2014). The sample countries are 17 developed countries and 19 emerging market countries, which are different from those of the previous papers as Agosin and Huaita (2012), and Calvo (2014). When the exchange market pressure index(EMPI) is deviated from the average by over three times standard deviation, we determine that the foreign exchange market is unstable for that country. Results - We find that the characteristics of the sudden stop in capital flows are the bunching or contagion among countries, the rapid drop in real effective exchange rate, and the huge decrease in foreign exchange reserves. Many countries tried to increase foreign exchange reserves and regulate capital flows. Also the foreign exchange market in Korea are found to be the volatile exchange rate, the vulnerable external debt and careless management of the foreign exchange derivatives transaction risk. Conclusions - To lessen the risk in the sudden stop of capital flows, this research suggests the some useful policy measures. To enhance the foreign exchange and distribution market stability, we should improve the price mechanism of exchange rate, hold the appropriate level of foreign exchange reserves, prevent excessive inflows of foreign exchange and promote sound transactions of foreign exchange derivatives.

• 통상정보연구
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• 제15권3호
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• pp.41-62
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• 2013

본 논문은 외환보유고 축적이 신흥경제권의 금융시스템에 중 장기적으로 어떠한 영향이 미치는지에 대해서 고찰하였다. 외환보유고의 축적은 신흥경제권에 있어서 금융위기의 재발방지라는 관점에서 매우 유효한 수단이며 금융위기의 리스크를 줄이기 위한 수단이기도 하다. 외환보유고의 과도한 축적이 경제적으로 대외채무, 국내소비, 국내투자 및 경제성장에 각각 어떠한 영향을 미치는지 중 장기적인 관점에서 보면 외환보유고의 축적이 국내소비를 감소시키는 한편 수출증가에 의한 무역재 산업의 확대를 가져온다. 즉 무역재 산업의 확대는 무역재 산업이 자본집약적인 경우에 국내투자의 확대를 통해서 경제성장에 긍정적인 영향을 준다. 그러나 중국은 국내투자를 대폭적으로 확대하는 정책을 실시하고 있지만 그 외의 국가에서는 과도한 외환보유고의 축적으로 인해서 국내투자가 정체되고 있다. 이러한 사실은 중국을 제외하고 과도한 외환보유고의 축적이 비무역재 산업의 축소를 통해 중 장기적으로 경제성장을 침체시킴으로서 잠재적인 리스크가 높아진다는 것을 의미한다.

• The Journal of Asian Finance, Economics and Business
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• 제8권2호
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• pp.791-800
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• 2021

Along with the trend of financial globalization, Vietnam has undergone a process of increasing financial integration. The great capital inflow poses a problem for the monetary policy's ability to follow a planned target during the changes in the global financial markets. This paper aims to examine the impact of financial integration on monetary policy independence in Vietnam and investigate the role of foreign exchange reserves on this relationship. The research borrows from Mundell-Fleming's Trilemma theory. The results show that increasing financial integration reduces the independence of monetary policy in the short term, and foreign exchange reserves have not shown an apparent role in Vietnam. In addition, increasing exchange rate stability has a negative impact on the independence of monetary policy, but it has an impact on growing market confidence and partly supporting the management process of monetary policy in the short term. Therefore, in the long run, Vietnam needs to allow exchange rate flexibility more, but there should not be sudden changes; the size of foreign exchange reserves should be strengthened to facilitate the implementation of an independent monetary policy with an obvious impact in the context of an increasing scale of international capital flows in the future.

• The Journal of Asian Finance, Economics and Business
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• 제9권2호
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• pp.37-47
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• 2022

This study uses monthly data from January 2009 to December 2020 to examine the effectiveness of foreign currency intervention and its influence on monetary policy in Vietnam using a Hierarchical Bayesian VAR model. The findings suggest that foreign exchange intervention has little influence on the exchange rate level or exports, but it can significantly minimize exchange rate volatility. As a result, we can demonstrate that the claim that Vietnam is a currency manipulator is false. As well, the forecast error variance decomposition results reveal that interest rate differentials mainly determine the exchange rate level instead of foreign exchange intervention. Moreover, the findings suggest that foreign exchange intervention is not effectively sterilized in Vietnam. Inflation is caused by an increase in international reserves, which leads to an expansion of the money supply and a decrease in interest rates. Although the impact of foreign exchange intervention grows in tandem with the growth of international reserves, if the sterilizing capacity does not improve, rising foreign exchange intervention will instead result in inflation. Finally, we use a rolling window approach to examine the time-varying effect of foreign exchange intervention.

• 지역연구
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• 제34권2호
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• pp.65-77
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• 2018

본 연구의 목적은 캄보디아와 베트남의 국가위험도와 영향요인들을 비교 분석하는 것이다. OECD와 한국수출입은행 모두 베트남보다는 캄보디아의 국가위험도를 더 높게 평가하고 있다. 국가위험도 분류에 따른 각각의 평가요소들에 대해 모수검정을 실시한 결과, 정치 사회적 위험 지표인 부패지수, 경제적 위험 중 국내경제 지표인 경제성장률, 경제적 위험 지표 중 대외거래 지표들, 경제적 위험 중 외채 관련 지표가 두 국가 간의 국가위험도 차이에 통계적으로 유의한 영향을 미쳤다. 국가위험도 분류에 따른 평가요소별 모수검정 결과를 토대로 판별요인 분석을 통해 두 국가 간의 국가위험도를 가장 잘 나타내는 요인들을 추가로 추정한 결과, 정치 사회적 위험 지표인 부패지수, 경제적 위험 중 국내경제 지표인 경제성장률, 경제적 위험 중 외채 관련 지표인 외환보유액/월평균수입이 캄보디아와 베트남 간의 국가위험도 차이를 잘 대변하는 것으로 나타났다. 결론적으로 캄보디아가 국가위험도를 베트남 수준으로 낮추기 위해서는 무엇보다도 부패척결, 수출증대 등 대외거래 확대가 필요하다고 할 것이다. 베트남 또한 지속적인 경제성장 달성과 외환보유고 증대에 주력할 필요가 있을 것이다.

• The Journal of Asian Finance, Economics and Business
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• 제3권2호
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• pp.33-39
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• 2016

This study empirically evaluates the impact of exchange rate volatility, foreign direct investment, terms of trade, inflation, and industrial production and foreign exchange reserves on Pakistani trade volume over the period of 1975-2010 using quarterly data set. The study employs financial econometrics methods such as Augmented Dickey Fuller (ADF) test GARCH (1, 1) technique and Almon Polynomial Distributed Lag (APDL) models to estimate the relationship of variables. Findings of the study are in accordance with theoretical relationships presented by Clark, Tamirisa, Wei, Sadikov, & Zeng (2004), McKenzie (1999), Dellas & Zilberfarb (1993) and Côté (1994). These findings are also in accordance with the empirical studies which support positive relationship of exchange rate volatility and exports presented by Hsu & Chiang (2011), Chit (2008), Feenstra & Kendall (1991), Esquivel & Larraín (2002) and Onafowora & Owoye (2008). Findings of the study in terms of imports are supported by the studies such as Lee (1999), Alam & Ahmad (2011) and Arize (1998). The study also recommends some very important policy prescriptions.

• 아태비즈니스연구
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• 제15권1호
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• pp.209-223
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• 2024

Purpose - This article analyzes the impact of macroeconomic variables of the United States, China, and Korea on KOSPI and VKOSPI, in that United States and China have a great influence on Korea, having an export-driven economy. Design/methodology/approach - The influence of US, China, and Korea interest rates, industrial production index, consumer price index, US employment index, Chinese real estate index, and Korea's foreign exchange reserves on KOSPI and VKOSPI is analyzed on monthly basis from Jan 2012 to Aug 2023, using multifactor model. Findings - The KOSPI showed a positive relationship with the U.S. industrial production index and Korea's foreign exchange reserves, and a negative relationship with the U.S. employment index and Chinese real estate index. The VKOSPI showed a positive relationship with the Chinese consumer price index, and a negative relationship with the U.S. interest rates, and Korean foreign exchange reserves. Next, dividing the analysis into two periods with the Covid crisis and the analysis by country, the impact of US macroeconomic variables on KOSPI was greater than Chinese ones and the impact of Chinese macroeconomic variables on VKOSPI was greater than US ones. The result of the forward predictive failure test confirmed that it was appropriate to divide the period into two periods with economic event, the Covid Crisis. After the Covid crisis, the impact of macroeconomic variables on KOSPI and VKOSPI increased. This reflects the financial market co-movements due to governments' policy coordination and central bank liquidity supply to overcome the crisis in the pandemic situation. Research implications or Originality - This study is meaningful in that it analyzed the effects of macroeconomic variables on KOSPI and VKOSPI simultaneously. In addition, the leverage effect can also be confirmed through the relationship between macroeconomic variables and KOSPI and VKOSPI. This article examined the fundamental changes in the Korean and global financial markets following the shock of Corona by applying this research model before and after Covid crisis.

• The Journal of Asian Finance, Economics and Business
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• 제7권2호
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• pp.157-168
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• 2020

Since the economic crisis sweeps across the world in 2008, the foreign direct investment of various countries has been greatly impacted. Therefore, this paper regards China as an example to analyze China's outward foreign direct investment patterns in terms of Asian financial markets with a panel data over the period 2003-2017. We mainly focus on the money market oriented outward foreign direct investment and foreign exchange market oriented outward foreign direct investment. Using the individual fixed effect model to conduct empirical analyses, the empirical findings indicate that China will reduce its foreign direct investment amount to a country with large money supply and China will increase its foreign direct investment amount to a country with large foreign exchange reserves. Furthermore, when a country has signed Free Trade Agreement with China, China will increase more foreign direct investment amount to these countries than that of a country who has not signed Free Trade Agreement with China. Moreover, the empirical findings indicate that no matter what the money market oriented outward foreign direct investment or foreign market oriented outward foreign direct investment, China will reduce its foreign direct investment amount to these Asian countries due to the global economic crisis.

• International Journal of Advanced Culture Technology
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• 제7권1호
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• pp.84-88
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• 2019

This paper examines whether the exchange rate respond differently to monetary policy shocks in Korea using regression model. We find an asymmetric response of the monetary policy shocks to the monetary policy shocks in the context of Korea. Over the whole period sample, we do not find the effect of an actual interest rate on exchange rate. But we find that the estimated coefficient on the expected and unexpected change in the policy rate are negative and statistically significant. In the period of monetary policy easing, the estimated coefficient on the expected and unexpected change in the policy rate are negative but not statistically significant. In contrast, the period of monetary policy tightening, the estimated coefficient on the expected and unexpected change in the policy rate are negative and statistically significant.