환율변동성의 통화대체 효과

• 영문명: Exchange Volatility and Currency Substitution in Korea
• 발행기관: 한국공공정책학회
• 저자명: 김인철(Inchul Kim) 안경애(Kyoung-Ae An)
• 간행물 정보: 『공공정책연구』공공정책연구 제17호, 47~66쪽, 전체 20쪽
• 주제분류: 사회과학 > 정책학
• 파일형태: PDF
• 발행일자: 2005.06.01

영문 초록

In this paper we analyzed causality relationship between currency substitution and exchange rate volatility. In the estimation of currency substitution equation, we used both the resident's foreign currency deposits and the country's foreign reserve holding as measures of currency substitution. We generated a timeseries data for exchange rate volatility by using the model of GARCH (1,1) and we analyzed the relationship between currency and exchange volatility based on the VAR model. We split the sample period into two period, before and after the 1997 currency crisis, and compared the results,

목차

Abstract

Ⅰ. 서문

Ⅱ. 선행연구

Ⅲ. 통화대체 모형

Ⅳ. 통화대체와 환율변동성간의 인과관계 실증분석

Ⅴ. 맺음말

참고문헌