The Determinants of won/dollar Exchange Rate Volatility and Policy Recommendations
This thesis analyzed the feature and different points of the changing of the exchange rate of Korea won against US dollar, then discussed the direction of the completion of Korea exchange rate system. The prediction result of the model GARCH which vividly shows the phenomenon of the auto-regression...
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| Format: | Article |
| Language: | English |
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Korea Institute for International Economic Policy
1998-09-01
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| Series: | East Asian Economic Review |
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| Online Access: | http://dx.doi.org/10.11644/KIEP.JEAI.1998.2.3.23 |
| _version_ | 1818230912349896704 |
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| author | Chae-Shick Chung |
| author_facet | Chae-Shick Chung |
| author_sort | Chae-Shick Chung |
| collection | DOAJ |
| description | This thesis analyzed the feature and different points of the changing of the exchange rate of Korea won against US dollar, then discussed the direction of the completion of Korea exchange rate system. The prediction result of the model GARCH which vividly shows the phenomenon of the auto-regression of the exchange rate has indicated the level of the exchange rate yesterday could explain the circumstance of the change of exchange rate today. Meanwhile, the policy of the US exchange rate will affect the exchange rate of Korea won against US dollar and the volatility of foreign exchange rate. In the present situation of Korean economy in which the liberalization of capital and the independence of the central bank has been established, the choosing range of the exchange system could only be completely changeable exchange rate system or exchange rate system of multilateral arrangement like Europe. However, in terms of the condition of the world economy, the introduction of the latter system is too early. There is an idea that under the changeable exchange rate system which is the only choice, it is the right time to activate the main body of private economy, the financial derivatives market in which the exchange risk could be trade-off. Government should work on and create a policy that would be able to satisfy the expectations of the market participants. |
| first_indexed | 2024-12-12T10:42:02Z |
| format | Article |
| id | doaj.art-eb3bec9e053140d7b37c591cf9166e24 |
| institution | Directory Open Access Journal |
| issn | 2508-1640 2508-1667 |
| language | English |
| last_indexed | 2024-12-12T10:42:02Z |
| publishDate | 1998-09-01 |
| publisher | Korea Institute for International Economic Policy |
| record_format | Article |
| series | East Asian Economic Review |
| spelling | doaj.art-eb3bec9e053140d7b37c591cf9166e242022-12-22T00:27:01ZengKorea Institute for International Economic PolicyEast Asian Economic Review2508-16402508-16671998-09-01232748http://dx.doi.org/10.11644/KIEP.JEAI.1998.2.3.23The Determinants of won/dollar Exchange Rate Volatility and Policy RecommendationsChae-Shick Chung This thesis analyzed the feature and different points of the changing of the exchange rate of Korea won against US dollar, then discussed the direction of the completion of Korea exchange rate system. The prediction result of the model GARCH which vividly shows the phenomenon of the auto-regression of the exchange rate has indicated the level of the exchange rate yesterday could explain the circumstance of the change of exchange rate today. Meanwhile, the policy of the US exchange rate will affect the exchange rate of Korea won against US dollar and the volatility of foreign exchange rate. In the present situation of Korean economy in which the liberalization of capital and the independence of the central bank has been established, the choosing range of the exchange system could only be completely changeable exchange rate system or exchange rate system of multilateral arrangement like Europe. However, in terms of the condition of the world economy, the introduction of the latter system is too early. There is an idea that under the changeable exchange rate system which is the only choice, it is the right time to activate the main body of private economy, the financial derivatives market in which the exchange risk could be trade-off. Government should work on and create a policy that would be able to satisfy the expectations of the market participants.http://dx.doi.org/10.11644/KIEP.JEAI.1998.2.3.23Exchange Rate VolatilityDollarWonGARCH Model |
| spellingShingle | Chae-Shick Chung The Determinants of won/dollar Exchange Rate Volatility and Policy Recommendations East Asian Economic Review Exchange Rate Volatility Dollar Won GARCH Model |
| title | The Determinants of won/dollar Exchange Rate Volatility and Policy Recommendations |
| title_full | The Determinants of won/dollar Exchange Rate Volatility and Policy Recommendations |
| title_fullStr | The Determinants of won/dollar Exchange Rate Volatility and Policy Recommendations |
| title_full_unstemmed | The Determinants of won/dollar Exchange Rate Volatility and Policy Recommendations |
| title_short | The Determinants of won/dollar Exchange Rate Volatility and Policy Recommendations |
| title_sort | determinants of won dollar exchange rate volatility and policy recommendations |
| topic | Exchange Rate Volatility Dollar Won GARCH Model |
| url | http://dx.doi.org/10.11644/KIEP.JEAI.1998.2.3.23 |
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