Analysis of changes in the relationship between exchange rates, interest rates, and capital flows before and after the economic crisis

Seung-Ho Lee and Chae-Shick Chung
Additional contact information
Seung-Ho Lee: The Bank Of Korea
Chae-Shick Chung: Korea Institute for International Economic Policy

East Asian Economic Review, 1999, vol. 3, issue 3, 3-26

Abstract: The purpose of this paper is to investigate the interrelationships among KRW/USD exchange rate, interest rate, and foreigner's portfolio investment to Korea before and after the crisis. Our finding is that interest rate and the exchange rate move closely with positive relation after the crisis, which was not the case before the crisis. We also examine cross dependencies among three variables using a multivariate GARCH model and find that all of restricted models such as uni-directional spillovers are firmly rejected over both periods.

Keywords: Asian Financial Crisis; Capital Movement; GARCH Model; Korea (search for similar items in EconPapers)
JEL-codes: F21 F31 F32 (search for similar items in EconPapers)
Date: 1999
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dx.doi.org/10.11644/KIEP.JEAI.1999.3.3.45 Full text (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:ris:eaerev:0271

Access Statistics for this article

East Asian Economic Review is currently edited by JE Lee

More articles in East Asian Economic Review from Korea Institute for International Economic Policy [30147] 3rd Floor Building C Sejong National Research Complex 370 Sicheong-daero Sejong-si, Korea. Contact information at EDIRC.
Bibliographic data for series maintained by JE Lee ().