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Coupling for the Won-Dollar and Yen-Dollar Rates under the Floating Exchange Rate System in Korea : A Fractional Cointegration Approach

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Authors
Song, Jeongseok
Issue Date
2006
Publisher
Seoul Journal of Economics
Citation
Seoul Journal of Economics 19 (No. 1 2006): 67-110
Keywords
Won-Yen coupling; Exchange rate risk; Realized volatility; Fractional Cointegration
Abstract
The coupling for the exchange rates for the Won and Yen is regarded as a unique phenomenon since extremely similar movement among different currencies' exchange rates is rarely observed despite the recent world economy integration. This paper considers the exchange rate risk, macroeconomic factors, and the foreign reserves as determinants of the Won-Yen coupling especially for the post-crisis period since the late 90s, and finally compares the three groups of factors to identity the major driving force of the coupling pattern. The empirical findings in the paper suggest that the exchange rate risk for the two currencies is more significantly related to the Won-Yen coupling behavior than the other factors.
ISSN
1225-0279
Language
English
URI
http://hdl.handle.net/10371/1347
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College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.19(1) (Spring 2006)
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