Essays on Financial Globalization, Financial Exchange Rates, and Valuation Effects

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사회과학대학 경제학부
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서울대학교 대학원
학위논문 (박사)-- 서울대학교 대학원 : 사회과학대학 경제학부, 2019. 2. 김소영.
The recent financial globalization addresses important global issues on external accounts, such as stocks of foreign assets and foreign liabilities, capital transactions, and their influence on a countrys economy. This study focuses on valuation effects in foreign assets and liabilities due to variations in exchange rates and asset prices. In addition, this study highlights Korea in light of its need for an appropriate exchange rate index to precisely investigate relations among financial variables.

Chapter I constructs a monthly financial effective exchange rate index for Korea and investigates the relationship between a financial effective exchange rate and an external position and that between a financial effective exchange rate and capital flows. Results show that the exchange rate index and the traditional BIS trade-weighted index move in opposite directions. Moreover, empirical results indicate that an increase in the rate of change of the financial effective exchange rate significantly leads to capital outflows, especially in portfolio investment and bond investment. The use of the financial effective exchange rate may be better than the traditional trade-weighted exchange rate in explaining and estimating the wealth effects of the changes in net external positions and, furthermore, exchange rate effects in overall financial sector.

Chapter II identifies the determinants of valuation changes, focusing on a long-term perspective. The size of foreign assets and liabilities and their compositions are important in determining the direction and extent of valuation effects. In addition, financial exchange rates show a more significant relationship than other exchange rate measures do. Other variables related to a countrys macro economy and financial environment, such as GDP growth, GDP per capita, real interest rates, financial development, and age-dependency ratio, are also considered.
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College of Social Sciences (사회과학대학)Dept. of Economics (경제학부)Theses (Ph.D. / Sc.D._경제학부)
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