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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2008.1
- 수록면
- 527 - 550 (24page)
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This paper focuses on providing proper models for the daily Korean exchange rate dynamics which is subject to macroeconomic shocks. By investigating the daily KRW-USD and KRW-JPY exchange returns, this paper presents that the usual assumption of normal distribution is not appropriate in representing the daily Korean exchange returns due to the jumps which are related to the macroeconomic shocks of Korea, Japan and the U.S. Thus, this paper relies on the normal mixture distribution that allows for the jumps in the process of the daily Korean exchange returns. The normal mixture model with the Bernoulli distribution is found to perform quite well and to be important for the estimation of the long memory persistence in the daily Korean exchange return volatility. In particular, using the time-varying jump probability associated with the macroeconomic shocks of Korea, Japan and the U.S., this paper finds that the macroeconomic shocks induce jumps in the process of the daily exchange returns and appear to increase the long memory persistence in the daily Korean exchange return volatility.
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참고문헌 (22)
참고문헌 신청
Andersen, Torben G. / 1997 / Intraday periodicity and volatility persistence in financial markets / Journal of Empirical Finance 4 : 115 ~ 158
Andersen, Torben G. / 1998 / Deutsche mark - dollar volatility: intraday activity, patterns, macroeconomic announcements and longer run dependence / Journal of Finance 53 (1)
Andersen, Torben G. / 2003 / Micro effects of macro announcements: real-time price discovery in foreign exchange / American Economic Reviews 93 (1) : 38 ~ 62
Baillie, Richard T / 1996 / Long memory processes and fractional integration in econometrics / Journal of Econometrics 73 (1) : 5 ~ 59
Baillie, Richard T. / 1996 / Fractionally integrated generalized autoregressive conditional heteroskedasti- city / Journal of Econometrics 74 (1) : 3 ~ 30
Andersen, Torben G. / 1998 / Deutsche mark - dollar volatility: intraday activity, patterns, macroeconomic announcements and longer run dependence / Journal of Finance 53 (1)
Andersen, Torben G. / 2003 / Micro effects of macro announcements: real-time price discovery in foreign exchange / American Economic Reviews 93 (1) : 38 ~ 62
Baillie, Richard T / 1996 / Long memory processes and fractional integration in econometrics / Journal of Econometrics 73 (1) : 5 ~ 59
Baillie, Richard T. / 1996 / Fractionally integrated generalized autoregressive conditional heteroskedasti- city / Journal of Econometrics 74 (1) : 3 ~ 30
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