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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2012.1
- 수록면
- 61 - 77 (17page)
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This paper estimates the volatility of the won-dollar exchange rate during the 2008-9 crisis. We find that the volatility increased in September 2008 and decreased in May 2009. The volatility rose gradually for one month and subdued in a similar manner, which implies that the volatility was not governed by any specific event or government policy. The overall changes in the volatility are similar to the movements of the CDS premium. We also find that the UK foreign exchange market experienced a similar pattern of volatility shifts and suffered smaller but longer volatility than the Korean one. The volatility shifts are estimated using a Markov switching GARCH model and a Bayesian method is suggested.
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참고문헌 (28)
참고문헌 신청
Aghion, P / 2009 / Exchange Rate Volatility and Productivity Growth: The Role of Financial Development / Journal of Monetary Economics 56 (4) : 494 ~ 513
Bacchetta, P / 2000 / Does Exchange-Rate Stability Increase Trade and Welfare? / The American Economic Review 90 (5)
Bauwens, L / 1999 / Bayesian Inference in Dynamic Econometric Models / Oxford University Press
Bergin, P.R / 2003 / Does Exchange Rate Risk Matter for Welfare?
Bollerslev, T / 1986 / Generalized Autoregressive Conditional Heteroskedasticity / Journal of Econometrics 31 : 307 ~ 327
Bacchetta, P / 2000 / Does Exchange-Rate Stability Increase Trade and Welfare? / The American Economic Review 90 (5)
Bauwens, L / 1999 / Bayesian Inference in Dynamic Econometric Models / Oxford University Press
Bergin, P.R / 2003 / Does Exchange Rate Risk Matter for Welfare?
Bollerslev, T / 1986 / Generalized Autoregressive Conditional Heteroskedasticity / Journal of Econometrics 31 : 307 ~ 327
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