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

Chae-Shick Chung and Youngmin Jang
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Chae-Shick Chung: Korea Institute for International Economic Policy
Youngmin Jang: Korea Institute for International Economic Policy

East Asian Economic Review, 2000, vol. 4, issue 1, 65-93

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.

Keywords: Exchange Rate; Economic Crisis; Won; Dollar; Yen; GARCH Model (search for similar items in EconPapers)
JEL-codes: F31 F32 F33 (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:eaerev:0260

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