GARCH 모형에 의한 국제통화 평가

• 영문명: An Evaluation of International Currency and the Strategy for Yuan (RMB) Internationalization: An Application of the GARCH Model
• 발행기관: 한국무역연구원
• 저자명: 이현재(Hyun-Jae Rhee)
• 간행물 정보: 『무역연구』제11권 제6호, 213~231쪽, 전체 19쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2015.12.31

영문 초록

This research is basically designed to investigate whether the Chinese yuan (RMB) will be fulfilled sufficiently its inherent nature as an international currency. To see its potentials as a market-oriented mechanism, the GDP and Libor interest rates are selected to represent the real and financial sectors, respectively. In addition, the GARCH model which corrects easily autoregressive and heteroscedastic error disturbances in parameter estimating processes is employed to evaluate it. Empirical finding reveals that no matter how all currencies in the IMF basket are appropriately responding to volatility resulting from a change of income and interest rates, all currencies including the U.S dollar (USD) are not enough to adjust global imbalance in both the real and financial sectors. The RMB is situated in the same category as well. To this end, it is suggested that the Chinese financial system has to be amended in order to improve market efficiency, and this will enhance stability, acceptability, and convertibility of the RMB.

목차

Abstract

I. 서론

II. 기존의 연구

III. 분석모형의 설정 및 실증분석

IV. 요약 및 결론

References

키워드

GARCH Model Global Imbalance IMF Currency Basket International Currency Yuan(RMB)