This paper focuses to analyze the relationship between capital flows and exchange rates after the 1997 financial crisis. Most studies in this field have their limitations since they aimed to describe the causes, development, and policy response on the crisis. Thus, our motivation comes from the need to draw meaningful policy implications through rigorous tests on the exchange rate fluctuations related to capital movements.
The purpose of this paper is four-fold. First, we analyze new characteristics of won/dollar exchange rate movements after the crisis. Second, we develop the exchange rate forecasting model based on the characteristics. Third, we index crisis warning by measuring foreign exchange market pressure. Fourth, we summarize the development of regulatory discussion on short-term capital flows that cause undesirable fluctuations of exchange rates.
Our findings are as follows. First, we find that foreigners' net equity investment plays a key role in determining nominal won/dollar exchange rate after the crisis. Second, we figure out that foreign variables such as offshore NDF rates and foreigners' equity investment improved the forecastability of the model. Third, foreign exchange market pressure is crucial to compose macroeconomic distress into early warning index. Finally, we find that the capital control helps to avoid the upheaval in domestic financial market and stabilize economic fundamentals but it puts obstacles in the way of potential growth by downgrading her credibility.
분석 및 예측
[서울] : 한국금융연구원
|Series Title; No||기타보고서|
|Subject Country||South Korea(Asia and Pacific)|
|Subject||Economy < Financial Policy|
|Holding||한국금융연구원; KDI 국제정책대학원|