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An Empirical Study on the Comovement between Won/Dollar and Yen/Dollar Spot Markets
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원달러 및 엔달러 현물시장간의 가격발견기능에 관한 연구

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Type
Academic journal
Author
Chung-Hyo Hong (경남대학교)
Journal
Korean Industrial Economic Association Journal of Industrial Economics and Business 제20권 제6호 KCI Accredited Journals
Published
2007.12
Pages
2,437 - 2,454 (18page)

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An Empirical Study on the Comovement between Won/Dollar and Yen/Dollar Spot Markets
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Abstract· Keywords

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This study investigates the co-movement between Won/Dollar spot and Yen/Dollar spot markets using the daily closing prices covered from March 2, 1990 to December 2, 2005. For this purpose we employ the dynamic time series model such as Granger causality test, Impulse Response and Variance Decomposition through vector autoregressive analysis(VAR). The major empirical results are as follows;.
First, we find there is a unit root in level variables of Won/Dollar and Yen/Dollar cash prices but not in a returns data.
Second, there is no long-term relationship between the level variables of Won/Dollar and Yen/Dollar cash markets.
Third, According to the results of Granger-causality test and impulse response analysis, we find that there is the co-movement between returns of Yen/Dollar and Won/Dollar spot in a statistically significant level. However this kind of inter-dependence between the two foreign exchange markets is relatively greater during pre-crisis period than after crisis. We think these results are meaningful for FX investors who are in charge of capital asset pricing valuation, risk management and international portfolio management.
#VAR모형 #원달러 및 엔달러 #Granger 인과관계분석 #단위근 #동조화 #Won/Dollar #Yen/Dollar #Co-movement #Unit Root #VAR #Granger Causality Test

Contents

Ⅰ. 서론
Ⅱ. 기초 통계량 분석
Ⅲ. 연구방법(Methodology)
Ⅳ. 실증분석결과
Ⅴ. 요약 및 결론
참고문헌
Abstract

References (27)

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1. [학술지(정기간행물)] - 이승호 / 1997 / 금리, 환율의 연관성과 자본이동성 / 경제분석 3 (3) google schola 2. [학술지(정기간행물)] - 이필상 / 1997 / 주가지수 선물가격변화량과 현물가격변화량간의 일중 관계에 관한연구 / 재무 관리연구 14 (1) : 141 ~ 169 google schola 3. [학술지(정기간행물)] - 지호준 / 2001 / 외환ㆍ주식ㆍ채권시장의 상호 관련성 : 한국ㆍ일본의 비교 / 재무관리연구 18 (2) : 169 ~ 191 google schola 4. [학술지(정기간행물)] - 한덕희 / 2007 / USD선물시장에서의 가격과 거래량간의 정보전달 관계 / 산업경제연구 20 (2) : 601 ~ 618 dbpia 5. [학술지(정기간행물)] - 홍정효 / 2006 / 국제채권시장통합 및 시장효율성에 관한 연구 : 미국, 일본 및 한국채권현물시장 중심으로 / 산업경제연구 19 (4) : 1513 ~ 1525 dbpia

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