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Analysis of Changes in the Relationship between the KRW/USD Exchange rate and JPY/USD Exchange Rate Before and After the Economic Crisis

Author

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  • Chung, Chae-Shick

    (Korea Institute for International Economic Policy)

  • Jang, Youngmin

    (Korea Institute for International Economic Policy)

Abstract

The purpose of this paper is to investigate the relationship between KRW/USD and JPY/USD exchange rates dividing the sample period into thress sub-periods: pre-crisis, and post-crisis. During the pre-crisis period, JPY/USD affects KRW/USD asymmetrically: the latter moved very closely with the former's depreciation but opposite is not the case. However, we cannot find such asymmetric relation during other periods. We also estimate KRW/USD volatilities using various GARCH models and find that economic hypothesis of JPY/USD affects volatilities of KRW/USD are firmly reject over all periods.

Suggested Citation

  • Chung, Chae-Shick & Jang, Youngmin, 2000. "Analysis of Changes in the Relationship between the KRW/USD Exchange rate and JPY/USD Exchange Rate Before and After the Economic Crisis," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 4(1), pages 65-93, March.
    • Handle: RePEc:ris:eaerev:0260
    DOI: 10.11644/KIEP.JEAI.2000.4.1.60
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    Cited by:

    1. Mirzosaid Sultonov & Shahzadah Nayyar Jehan, 2018. "Dynamic Linkages between Japan’s Foreign Exchange and Stock Markets: Response to the Brexit Referendum and the 2016 U.S. Presidential Election," JRFM, MDPI, vol. 11(3), pages 1-8, June.
    2. Mirzosaid Sultonov, 2020. "The Impacts of International Political and Economic Events on Japanese Financial Markets," IJFS, MDPI, vol. 8(3), pages 1-10, July.

    More about this item

    Keywords

    Exchange Rate; Economic Crisis; Won; Dollar; Yen; GARCH Model;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F32 - International Economics - - International Finance - - - Current Account Adjustment; Short-term Capital Movements
    • F33 - International Economics - - International Finance - - - International Monetary Arrangements and Institutions

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