 Understanding the synchronisation of the movements of Korean won and Japanese yen from an FX Market Micro-structural Approach (in Korean)Haesik Park () and
Chi-Young Song ()
Economic Analysis (Quarterly), 2006, vol. 12, issue 4, 1-34 Abstract: This paper exploited two-minute interval data to understand the daily patterns of currency synchronization between Korea and Japan in the post-crisis Korean FX market. It is found that the coincidence of movements between the two currencies does not hold continuously over time. That is, a re-iterative process of currency synchronization followed by non-synchronization took place during the post-crisis period. Also, the paper finds that Korean FX market participants responded primarily to the yen/dollar exchange rate during synchronization periods whereas they paid attention to information other than the yen/dollar exchange rate during the non-synchronization periods. Finally, the Korean won showed a tendency to more closely in lock-step with the Japanese yen at times when there was greater volatility in the yen/dollar exchange rate. Keywords: Synchronization; Non-Synchronization; FX Order Flow; Exchange Rate Volatility (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bok:journl:v:12:y:2006:i:4:p:1-34 Access Statistics for this article Economic Analysis (Quarterly) is currently edited by Wook Sohn, Hwan-koo Kang and Jaerang Lee More articles in Economic Analysis (Quarterly) from Economic Research Institute, Bank of Korea Contact information at EDIRC. |
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