지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2012.1
- 수록면
- 367 - 386 (20page)
이용수
초록· 키워드
오류제보하기
This paper studies dynamic relation, namely, two currencies of Korean won and Japanese yen, before and after the East Asian financial crisis of the late 1990s. We conjecture that there exists a long-run relation between won and yen, which is characterized by a band-reverting-type dynamic behavior. This band-reverting behavior of the two currencies implies that their relative values maintain a stable relation, keeping their discrepancy within a certain bound or band. Such band-reverting behavior is due to the arbitrage-seeking behavior of investors or the market intervention of monetary authorities. Our empirical analysis shows that the two currencies have a long-run equilibrium relation that implies a band-reverting-type dynamic relation. Our analysis also shows that this band-reverting relation becomes clearer in the post-crisis period.
목차
등록된 정보가 없습니다.
참고문헌 (12)
참고문헌 신청
Andrews, Donald W. K. / 2003 / End-of-Sample Cointegration Breakdown Tests
Balke, N. S. / 1997 / Threshold Cointegration / International Economic Review 38 (3) : 627 ~ 645
Dickey, David A. / 1979 / Distribution of the Estimators for Autoregressive Time Series with Unit Roots / Journal of the American Statistical Association 74 (366) : 427 ~ 431
Granger, C. W. J. / 1987 / Co-Integration and Error Correction: Representation, Estimation, and Testing / Econometrica 55 (2) : 251 ~ 276
Jeongseok Song / 2006 / Coupling for the Won-Dollar and Yen-Dollar Rates under the Floating Exchange Rate System in Korea: A Fractional Cointegration Approach / Seoul Journa
Balke, N. S. / 1997 / Threshold Cointegration / International Economic Review 38 (3) : 627 ~ 645
Dickey, David A. / 1979 / Distribution of the Estimators for Autoregressive Time Series with Unit Roots / Journal of the American Statistical Association 74 (366) : 427 ~ 431
Granger, C. W. J. / 1987 / Co-Integration and Error Correction: Representation, Estimation, and Testing / Econometrica 55 (2) : 251 ~ 276
Jeongseok Song / 2006 / Coupling for the Won-Dollar and Yen-Dollar Rates under the Floating Exchange Rate System in Korea: A Fractional Cointegration Approach / Seoul Journa
이 논문의 저자 정보
최근 본 자료
댓글(0)
0