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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2003.3
- 수록면
- 93 - 116 (24page)
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This paper considers the use of the long memory volatility process, FIGARCH, in representing Korean won-US dollar daily spot exchange rates. The spot returns are found to exhibit the widespread long memory property in their conditional variances and the FIGARCH model appears to be appropriate to represent the volatility process of the daily returns. The estimated long memory parameter during the crisis is found to be greater than that of the post-crisis period. This paper also quantifies the effectiveness of the interventions by the Bank of Korea (BOK) during the crisis. General conclusions provide evidences that the interventions of the BOK during the crisis were not effective in preventing depreciation of the Korean won and that they did not have any effect on market volatility. This study also finds that the interventions did not influence the risk premium or excess returns over uncovered interest parity (UIP).
목차
ABSTRACT
1.INTRODUCTION
2.ANALYSIS OF DAILY KOREAN WON-US DOLLAR RETURNS
3.EFFECTS OF INTERVENTIONS BY THE BANK OF KOREA DURING THE CURRENCY CRISIS
4.CONCLUSION
REFERENCES
참고문헌 (29)
참고문헌 신청
[학술지(정기간행물)] - / 1993 / Accounting for Daily Bundesbank and Federal Reserve Intervention
[학술지(정기간행물)] - Andersen / 1997 / Intraday Periodicity and Volatility Persistence in Financial Markets (4) : 115 ~ 158
[학술지(정기간행물)] - Baillie / 2000 / High Frequency Deutsche Mark- US Dollar Returns: FIGARCH Representations and Non-Linearities (4) : 247 ~ 267
[학술지(정기간행물)] - Baillie / 2002a / Central Bank Intervention and Properties of the 1920s Currency Market
[학술지(정기간행물)] - / 2002b / A High Frequency Perspective on Forward Premium Anomaly
[학술지(정기간행물)] - Andersen / 1997 / Intraday Periodicity and Volatility Persistence in Financial Markets (4) : 115 ~ 158
[학술지(정기간행물)] - Baillie / 2000 / High Frequency Deutsche Mark- US Dollar Returns: FIGARCH Representations and Non-Linearities (4) : 247 ~ 267
[학술지(정기간행물)] - Baillie / 2002a / Central Bank Intervention and Properties of the 1920s Currency Market
[학술지(정기간행물)] - / 2002b / A High Frequency Perspective on Forward Premium Anomaly
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UCI(KEPA) : I410-ECN-0101-2009-320-014252777