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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국자료분석학회 Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제13권 제4호
- 발행연도
- 2011.1
- 수록면
- 1,697 - 1,708 (12page)
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This paper empirically investigated the shock and volatility transmission of counterparty risk on the deviations from covered interest parity (CIP) in the foreign exchange (FX) forward market of Korea. During the recent financial turmoil, there were significant shock and volatility transmission from the counterparty risk of the European credit default swap (CDS) market to the CIP deviations of FX market under investigation. In addition, the shock of counterparty risk for US corporations was transmitted more to the Korean FX market than that of Korean sovereign risk. FX forward deviations tended to depend more on investment-grade European and US corporations than on Korean sovereign ones, because the shock and volatility of the European and US CDS indexes were transmitted more to CIP deviations than those of Korean sovereign ones. This finding is consistent with the view that the demand for dollar liquidity in the Korean FX market during the turmoil stemmed from mainly dollar London interbank offered rate (libor) panel banks, such as European and US banks, than the financial institutions of emerging countries like Korea.
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참고문헌 (32)
참고문헌 신청
McGuire, P. / 2008 / International banking activity amidst the turmoil / BIS Quarterly Review
Poitras,G / 1988 / Arbitrage boundaries, treasury bills, and covered interest parity / Journal of International Money and Finance 7(4):429~445
Popper,H / 1993 / Long-term covered interest parity: Evidence from currency swaps / Journal of International Money and Finance 12(4):439~448
Ryo, S. C. / 2008 / The efficiency and stability of FX swap in Korean market / Research of Monthly Statistics 10:54~92
Shin, S. W. / 2006 / The trend and implication of interest arbitrage transaction / The Review of International Foreign Finance 12:18~42
Poitras,G / 1988 / Arbitrage boundaries, treasury bills, and covered interest parity / Journal of International Money and Finance 7(4):429~445
Popper,H / 1993 / Long-term covered interest parity: Evidence from currency swaps / Journal of International Money and Finance 12(4):439~448
Ryo, S. C. / 2008 / The efficiency and stability of FX swap in Korean market / Research of Monthly Statistics 10:54~92
Shin, S. W. / 2006 / The trend and implication of interest arbitrage transaction / The Review of International Foreign Finance 12:18~42
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