The purpose of this paper is two-fold. First, it attempts to estimate the relative importance of foreign and domestic shocks on the won/dollar exchange rate observed in the post crisis period. Second, it examines whether foreign influences on the won/dollar exchange rate is closely related to the degree of capital mobility. The VAR is estimated to achieve the first objective using the daily data of yen/dollar exchange rates, offshore won/dollar NDF exchange rates, foreigners' stock market investment, and won/dollar spot exchange rates. For the second objective, foreign influences on the won/dollar exchange rate are regressed on capital mobility. The dependent variable is proxied by the variance decomposition of the won/dollar exchange rate obtained from the recursive estimation of the VAR. The ratio of foreign exchange trade volume to GDP and the stock market valuation of foreigners' shares to total shares are used for the independent variable.
The major findings of the paper are as follows. First, foreign variables represented by yen/dollar rates, offshore NDF rates and foreigners' stock market investment have significant influence on the won/dollar exchange rate. Second, when capital mobility rapidly increased in 1999～2001, foreign variables account for 65% of the won/dollar exchange rate movements. However, Foreign influences on the won/dollar exchange rate are reduced to 12% in 1998 when capital mobility remained almost the same to the pre-crisis level. Third, foreign influences on the won/dollar exchange rate are found to have an inverse relationship with capital mobility in 1998, whereas the correlation is reversed positive in 1999～2001. The same results are obtained when the ARCH effect is taken into account in the regression.
외환위기 이후 원/달러 환율의 해외충격에 대한 민감도 분석(The sensitivity of the Won/Dollar exchange rate to external shocks in the post crisis period)
[서울] : 한국금융연구원
|Series Title; No||금융조사보고서 / 2001-05|
|Subject Country||South Korea(Asia and Pacific)|
|Subject||Economy < Financial Policy|
|Holding||한국금융연구원; KDI 국제정책대학원|