Economic Papers Vol.4 No.1(2)
Group :
Data Source연구조정실 (Monetary Studies Team(tel : 82-2-759-5407, fax:82-2-759-5410) )
date2001.06.19
hit9783
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Exchange Rate Movement Before and After Free Floating: Efficiency
and Technical Trading Profitability
Author: Sangdai Ryoo
Full Text: EP_4_1_5.pdf
Summary:
This paper examines whether the Korean foreign exchange market
has become efficient following introduction of the free-floating
exchange rate regime by comparing exchange rate movements,
autocorrelation coefficients and profitabilities of technical
analysis before and after the free-floating regime. While the
exchange rate can be closely approximated by a random walk after
free floating, the sample autocorrelations of daily changes in
the exchange rate are still large. Moreover, several technical
analyses of the foreign exchange market are more profitable
than before. These facts imply that the foreign exchange market
is not efficient yet. That is, the exchange rate still moves in
trends despite the increased exchange rate volatility after
introduction of the free-floating system. This finding is
supported by profitabilities in different filter sizes of
filter rule.
Exchange Rates, Exchange Rate Volatility and Investment in Korea:
An Empirical Investigation
Author: Changkyu Choi
Full Text: EP_4_1_6.pdf
Summary:
Recently, several studies began to focus on the role of exchange
rates and exchange rate volatility in investment. Exchange rates
seem to play an important role in determining investments in
Korea. In this paper, the effects of exchange rates and exchange
rate volatility on investment are explained and tested
empirically with Korean data from the first quarter of 1981 to
the second quarter of 1998. Conditional variance from a GARCH
model is used as exchange rate volatility and an error
correction model is used. Investments proved to be decreasing
as exchange rate volatility increased or exchange rates
depreciated.
The Optimal Currency Basket and the Currency Bloc in Asia
Author: Tae-Joon Kim and Jai-Won Ryou
Full Text: EP_4_1_7.pdf
This paper attempts to clarify conditions for the optimal
currency basket in Asia as an alternative to both the single
currency peg and the flexible exchange rate regime. It
compares and evaluates various types of currency blocs from the
perspective that the monetary authorities pursue to stabilize
real effective exchange rates. From the individual countrys
perspective, the optimal currency basket is determined when the
weight of each currency is set equal to the corresponding trade
weight. Therefore, a substantial weight should be attributed
to the yen in the currency basket. As far as a regional
currency bloc is concerned, however, the adoption of a common
currency unit such as the Asian Currency Unit (ACU) is shown to
be the easily acceptable and realistic scheme. Similarly to the
European Currency Unit (ECU) under the European Monetary System,
the ACU would help not only to stabilize the real effective
exchange rates of regional currencies, but also to avoid
monopolization of the seigniorage gains by a member country
(most possibly by Japan). It is also expected to add international
liquidity for intra-regional transaction.