SHERP

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

DC Field Value Language
dc.contributor.authorSong, Jeongseok-
dc.date.accessioned2009-01-29T23:51:20Z-
dc.date.available2009-01-29T23:51:20Z-
dc.date.issued2006-
dc.identifier.citationSeoul Journal of Economics 19 (No. 1 2006): 67-110en
dc.identifier.issn1225-0279-
dc.identifier.urihttp://hdl.handle.net/10371/1347-
dc.description.abstractThe 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.-
dc.language.isoenen
dc.publisherSeoul Journal of Economicsen
dc.subjectWon-Yen couplingen
dc.subjectExchange rate risken
dc.subjectRealized volatilityen
dc.subjectFractional Cointegrationen
dc.titleCoupling for the Won-Dollar and Yen-Dollar Rates under the Floating Exchange Rate System in Korea : A Fractional Cointegration Approachen
dc.typeSNU Journalen
dc.contributor.AlternativeAuthor송정석-
Appears in Collections:
College of Social Sciences (사회과학대학)Institute of Economics Research (경제연구소)Seoul Journal of EconomicsSeoul Journal of Economics vol.19(1) (Spring 2006)
Files in This Item:
  • mendeley

Items in S-Space are protected by copyright, with all rights reserved, unless otherwise indicated.

Browse