시가변 위험프리미엄을 고려한 이자율평가설

• 영문명: Time Varying Risk-Adjusted Interest Rate Parity : An Analysis based on the Dynamic Stochastic General Equilibrium Model
• 발행기관: 한국무역연구원
• 저자명: 김건홍(Kun hong Kim)
• 간행물 정보: 『무역연구』제10권 제6호, 1177~1191쪽, 전체 15쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2014.12.31

영문 초록

Particularly important equation in the existing open economy dynamic stochastic general equilibrium (DSGE) models is the uncovered interest parity (UIP) relationship. Models rely on the UIP relationship to capture the relationship between the domestic-foreign interest rate differential and the movement of exchange rate. According to the UIP relationship, (1) regression of the rate of depreciation of the domestic currency against the lagged interest rate differential should produce the slope estimate equal to one and (2) there should be immediate appreciation of domestic currency followed by gradual depreciation after contractionary domestic monetary policy shock. These implications tend to be strongly rejected by the data. This paper investigates whether open economy DSGE modelling and UIP relationship can be better harmonized if the UIP relationship is adjusted to include the time varying risk premium term. When the model is estimated with the risk premium, hump-shaped response of exchange rate to monetary policy shock that is typically found in the empirical evidence could be produced. However, the log marginal likelihood is higher with the model estimated without the risk premium adjustment. This is especially so with Korean data. Further investigation to supplement/modify UIP relation would be worthwhile.

목차

Abstract

Ⅰ. 서론

Ⅱ. 논의의 배경과 기존문헌

Ⅲ. 소규모개방경제 모형

Ⅳ. 실증 분석

Ⅴ. 결론

참고문헌

키워드

Uncovered Interest Rate Parity Time Varying Risk Premium Small Open Economy Model Bayesian Estimation