금융통상환경 변화와 한중일 환율 동조화 분석

• 영문명: An Analysis of Co-movement among Foreign Exchange of Korea, China and Japan with the Change on the Financial & Commerce Environment
• 발행기관: 한국통상정보학회
• 저자명: 최창열(Chang-Yeoul Choi) 함형범(Hyung-Bum Ham)
• 간행물 정보: 『통상정보연구』제12권 제1호, 153~175쪽, 전체 23쪽
• 주제분류: 사회과학 > 무역학
• 파일형태: PDF
• 발행일자: 2010.03.30

영문 초록

This study conducts an analysis to verify an existence of co-movement among the exchange rates of Yuan-Dollar, Yen-Dollar and Won-Dollar by using time series data. An analysis period is divided into two periods. Therefore the first analysis period is from Dec. 17, 1997 to Jul. 21th. 20, 2005 and the second analysis period is from Jul. 25th, 2005 to Nov. 20th. 2009. This paper uses VAR model and daily data of exchange rates during the period. According to the result of an empirical analysis, yuan-dollar exchange rate has affected by th other variables ; yen-dollar exchange rate. It can be proved by result of an impulse response test and variance decomposition test in the second period. Therefore the won-dollar, yen-dollar, and Yen-dollar exchange rate has been influenced each other and the relationship will be maintained.

목차

Ⅰ. 서론

Ⅱ. 연구의 배경 및 선행연구

Ⅲ. 모형 설정 및 추정 방법

Ⅳ. 실증분석

Ⅳ. 결론

참고문헌

Abstract

키워드

Financial Crisis Exchange rate Co-movement VaR Analysis Unit-Root Test Correlation