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

Keun Yeong Lee ()
Additional contact information
Keun Yeong Lee: Department of Economics, Sungkyunkwan University

Economic Analysis (Quarterly), 2016, vol. 22, issue 1, 93-126

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.

Keywords: Comovement; TVP-VAR; Causality; Correlation coefficient (search for similar items in EconPapers)
JEL-codes: F3 F4 (search for similar items in EconPapers)
Date: 2016
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.bok.or.kr/ucms/cmmn/file/fileDown.do?m ... 00001018155&fileSn=1 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bok:journl:v:22:y:2016:i:1:p:93-126

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.
Bibliographic data for series maintained by Economic Research Institute ().