This study examines the characteristics and changing patterns of the asymmetric
volatility in the Korean w WONwon, Japanese yYENyen, Chinese yYUANyuan, USDUS
dollar and EUROthe eeuro. The GJR-GARCH(1,1)-M model shows that WONthe
Korean wwon has negative asymmetric volatility against all the other currencies except
against the euro and YENthe Japanese yyen hasve positive asymmetric volatility against
all USDthe US dollarother currencies, . Twhereas EUROthe eeuro has no asymmetric
volatility against all currencies except against YENthe Japanese y yen after their (What
is “their” refering to? It is not clear.) appreciations. YUANThe yuan shows significant
–negative volatility asymmetry against WONthe won and, significant +positive volatility
asymmetry against YENthe yen. Japanese yen is found to have the highest base
currency effect for the last ten years. Interestingly, their signssigns (what do you
mean by “signs”?) and relative magnitude of base currency effects of currencies
remained the same for the whole periodss, which implies the status of each currency
does not change easily in short time intervals. Therefore by choosing currencies which
have high base currency effects, an autonomous down side risk control schemes that
deal with the impact of bad news should have been possible. The stable base currency
effect also implies that some explanations other than central bank interventions are
33
required to explain the asymmetric volatilities in the foreign exchange rates.
In summary, unlike YENthe yen, which has enjoyed increasing status as a base currency
for the last ten years, WONthe won did not seems to have gained any base currency
status, which may be due to the slow globalization of WONthe won or central bank
interventions.
Key words : asymmetric volatility, base currency effect, GARCH(1,1)-M, GJRGARCH(
1,1)-M
학술대회/행사
학술대회안내
[2008년 제 4차] Base Currency Effect and Its Change Implications on
작성자 : 관리자
조회수 : 990
게시일 :
2008-12-11