KRW/USD Exchange Rate Volatility and Efficient Risk Management
This thesis analyzes the relationship between the exchange rate of Korean Won and US dollar and the amount of foreign exchange, and studies the direction of the amendment of the risk control of foreign exchange. The GARCH (Generalized Auto Regressive Conditional Heteroscedasticity) model which visua...
| Main Authors: | , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Korea Institute for International Economic Policy
1999-03-01
|
| Series: | East Asian Economic Review |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.11644/KIEP.JEAI.1999.3.1.38 |
| _version_ | 1819121341001891840 |
|---|---|
| author | Sang-Yong Joo Chae-Shick Chung Young-Woo Lee |
| author_facet | Sang-Yong Joo Chae-Shick Chung Young-Woo Lee |
| author_sort | Sang-Yong Joo |
| collection | DOAJ |
| description | This thesis analyzes the relationship between the exchange rate of Korean Won and US dollar and the amount of foreign exchange, and studies the direction of the amendment of the risk control of foreign exchange. The GARCH (Generalized Auto Regressive Conditional Heteroscedasticity) model which visually embodies the auto-regress of the wave of exchange rate shows that the amount of trade will enhance the fluidity of the exchange rate, that is, the various expects of the participators of the market affect the amount of trade and the fluidity, so in the process of trading, the trader who is in the dry tree of information bears more trading expenditure. It is predicted that the liberalization of foreign exchange rate and fluctuated exchange rate system will jointly bring the enhancement of the fluidity of the exchange rate and the amount of exchange trade. The change of this system will bring the rise of participators in foreign exchange market; meanwhile, it will also initiate superfluous fluidity of foreign exchange market. In order to overcome this problem, the government needs to implement the development strategy of the understructure of the foreign exchange market and the enterprises need to carry through systemic exchange rate risk control. |
| first_indexed | 2024-12-22T06:35:01Z |
| format | Article |
| id | doaj.art-ce6fa983ccc8440893e9c0cb1c118efd |
| institution | Directory Open Access Journal |
| issn | 2508-1640 2508-1667 |
| language | English |
| last_indexed | 2024-12-22T06:35:01Z |
| publishDate | 1999-03-01 |
| publisher | Korea Institute for International Economic Policy |
| record_format | Article |
| series | East Asian Economic Review |
| spelling | doaj.art-ce6fa983ccc8440893e9c0cb1c118efd2022-12-21T18:35:37ZengKorea Institute for International Economic PolicyEast Asian Economic Review2508-16402508-16671999-03-013181101http://dx.doi.org/10.11644/KIEP.JEAI.1999.3.1.38KRW/USD Exchange Rate Volatility and Efficient Risk ManagementSang-Yong Joo Chae-Shick Chung Young-Woo Lee This thesis analyzes the relationship between the exchange rate of Korean Won and US dollar and the amount of foreign exchange, and studies the direction of the amendment of the risk control of foreign exchange. The GARCH (Generalized Auto Regressive Conditional Heteroscedasticity) model which visually embodies the auto-regress of the wave of exchange rate shows that the amount of trade will enhance the fluidity of the exchange rate, that is, the various expects of the participators of the market affect the amount of trade and the fluidity, so in the process of trading, the trader who is in the dry tree of information bears more trading expenditure. It is predicted that the liberalization of foreign exchange rate and fluctuated exchange rate system will jointly bring the enhancement of the fluidity of the exchange rate and the amount of exchange trade. The change of this system will bring the rise of participators in foreign exchange market; meanwhile, it will also initiate superfluous fluidity of foreign exchange market. In order to overcome this problem, the government needs to implement the development strategy of the understructure of the foreign exchange market and the enterprises need to carry through systemic exchange rate risk control.http://dx.doi.org/10.11644/KIEP.JEAI.1999.3.1.38Exchange RateWonDollarGARCH Model |
| spellingShingle | Sang-Yong Joo Chae-Shick Chung Young-Woo Lee KRW/USD Exchange Rate Volatility and Efficient Risk Management East Asian Economic Review Exchange Rate Won Dollar GARCH Model |
| title | KRW/USD Exchange Rate Volatility and Efficient Risk Management |
| title_full | KRW/USD Exchange Rate Volatility and Efficient Risk Management |
| title_fullStr | KRW/USD Exchange Rate Volatility and Efficient Risk Management |
| title_full_unstemmed | KRW/USD Exchange Rate Volatility and Efficient Risk Management |
| title_short | KRW/USD Exchange Rate Volatility and Efficient Risk Management |
| title_sort | krw usd exchange rate volatility and efficient risk management |
| topic | Exchange Rate Won Dollar GARCH Model |
| url | http://dx.doi.org/10.11644/KIEP.JEAI.1999.3.1.38 |
| work_keys_str_mv | AT sangyongjoo krwusdexchangeratevolatilityandefficientriskmanagement AT chaeshickchung krwusdexchangeratevolatilityandefficientriskmanagement AT youngwoolee krwusdexchangeratevolatilityandefficientriskmanagement |