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.
초록· 키워드
오류제보하기
This paper investigates common factors of exchange rates volatility in East Asia using the common indexes made by principal component analysis. We employ a structural VAR model to separate underlying factors into global, regional and individual shocks.
As a result, we find that the mainly cause of exchange rate volatility is individual factor in East Asian foreign exchange market, and global and regional factors are relatively responsible for small. In case of Japan, domestic phenomenon explains most of volatility. It is play a dominant role in the others, too, but they are different from a weight composition of volatility. The volatility of China, Malaysia and Singapore is mainly explained by regional factors. On the other hands, Korea, Indonesia, Thailand and Philippine caused by global factors.
In addition, to consider time-varying effects, we separate the sample period by before and after global financial crisis. The estimation results show that Indonesia has not changed much, but other countries have changed quite a bit. In the foreign exchange market of Korea and Philippine, domestic effects decline and global effects increase. The weight of regional factors in Malaysia reduces and global factors rise. In China and Thailand, the factor caused by global market is decreased but the volatility caused by domestic factor is increased.
목차
등록된 정보가 없습니다.
참고문헌 (27)
참고문헌 신청
Bernanke, B. / 1986 / Alternative Explanations of the Money-Income Correlation
Black, A. J / 2000 / Long Run Trends, Business Cycle Components and Volatility Spill overs in Daily Exchange Rates: Evidence for G7 Exchange Rates
Blanchard, O. J / 1986 / Are Business Cycles All Alike?, In American Business Cycle / University of Chicago Press : 123 ~ 179
Blanchard, O. J. / 1989 / The Dynamic Effects of Demand and Supply Disturbances / American Economic Review 79 : 655 ~ 673
Chow, H. K. / 2003 / A Common Currency Peg in East Asia? Perspectives from Western Europe / Journal of Macroeconomics 25 : 331 ~ 350
Black, A. J / 2000 / Long Run Trends, Business Cycle Components and Volatility Spill overs in Daily Exchange Rates: Evidence for G7 Exchange Rates
Blanchard, O. J / 1986 / Are Business Cycles All Alike?, In American Business Cycle / University of Chicago Press : 123 ~ 179
Blanchard, O. J. / 1989 / The Dynamic Effects of Demand and Supply Disturbances / American Economic Review 79 : 655 ~ 673
Chow, H. K. / 2003 / A Common Currency Peg in East Asia? Perspectives from Western Europe / Journal of Macroeconomics 25 : 331 ~ 350
이 논문의 저자 정보
최근 본 자료
댓글(0)
0