IDEAS home Printed from https://ideas.repec.org/a/bok/journl/v22y2016i1p93-126.html
   My bibliography  Save this article

Comovement of Won/Dollar Exchange Rates with Yen/Dollar Exchange Rates Revisited (in Korean)

Author

Listed:
  • Keun Yeong Lee

    (Department of Economics, Sungkyunkwan University)

Abstract

The paper investigates how the degree of comovement between yen/dollar and won/dollar exchange rates has changed over time, by estimating a TVP-VAR model with stochastic volatility. According to the empirical results, a comovement phenomenon was consistently increasing between November 1991 and May 2002, while decreasing from November 2004. It came alive from July 2013. Its impact on exports and imports varies depending on Korean trade partners and products, while it generally decreases import changes bigger than export changes. It also has the most positive effect on trade with China. It implies that if a recent comovement trend will be persisting in the near future, Korean trade balance can be improved further.

Suggested Citation

  • Keun Yeong Lee, 2016. "Comovement of Won/Dollar Exchange Rates with Yen/Dollar Exchange Rates Revisited (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 22(1), pages 93-126, March.
    • Handle: RePEc:bok:journl:v:22:y:2016:i:1:p:93-126
    as

    Download full text from publisher

    File URL: https://www.bok.or.kr/ucms/cmmn/file/fileDown.do?menuNo=600354&atchFileId=ENG_0000000001018155&fileSn=1
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    Comovement; TVP-VAR; Causality; Correlation coefficient;
    All these keywords.

    JEL classification:

    • F3 - International Economics - - International Finance
    • F4 - International Economics - - Macroeconomic Aspects of International Trade and Finance

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bok:journl:v:22:y:2016:i:1:p:93-126. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Economic Research Institute (email available below). General contact details of provider: https://edirc.repec.org/data/imbokkr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.