원/달러 환율의 실현변동성 (Realized Volatility in Seoul Foreign Exchange Market)

24 Pages Posted: 1 Dec 2017

See all articles by Chae-Shick Chung

Chae-Shick Chung

Sogang University - Department of Economics

Sangyong Joo

Konkuk University - Department of Economics

Seung Moon Lee

The Bank of Korea

Date Written: December 31, 2004

Abstract

Korean Abstract: 실현변동성(realized volatility)은 모형에 의존하지 않고 측정되며 관찰이 가능하다는 장점을 가진 변동성의 개념이다. 본 연구에서는 2분 간격으로 관찰되는 고빈도 자료를 이용하여 원/달러, 엔/달러, 유로/달러 환율의 실현변동성을 측정하고, 그 통계적 특성을 비교 분석하였다. 첫째, 다른 통화들과 마찬가지로 원/달러 환율의 실현변동성은 정규분포를 따르지 않으나, 로그를 취하면 정규분포의 형태로 접근하는 것으로 나타났다. 둘째, 평균적인 실현변동성에 있어서는 원/달러가 다른 두 국제통화에 비해 낮은 수준이지만, 그 변화폭은 실현변동성의 정의에 따라 다르게 나타났다. 셋째, 세 환율의 실현변동성은 양의 상관관계를 갖는 것으로 분석되었다. 넷째, 실현변동성은 장기기억(long memory) 특성을 갖는 것으로 보이는데, 다른 두 통화에 비해 외생적 충격의 효과가 오래 지속되는 것으로 분석되었다.

English Abstract: China's Special Economic Zones (SEZs) have been entering a new development stage after China's entry into WTO. China has been developing ‘China's economic development model’, in which SEZs have ideally been combined with FDIs. China's SEZs concentrated in the east coastal region geographically, specialized in secondary industry, and put in practice many important favourable policies. China's SEZs also play an important role in regional development with the growth pole. At the time of entering the WTO, China's SEZs have been faced with new changes. This paper analyses this new change in China's SEZs, and considers the effect to Korea in the view of policy.

In the past ten years, Korea has acquired a better development in the field of economic cooperation. The industrial structure of the two countries has become more and more closed. Especially, the FDI cooperation of the past ten years mostly concentrated on China's SEZs. From the view of country's spatial division, Korea needs to adjust FDI its strategy more diversely in investment regions and industries, and it needs more joint cooperation.

Note: Downloadable document is available in Korean.

Keywords: Foreign Exchange Market, Realized Volatility, High Frequency, Won, Dollar

JEL Classification: F31, F32

Suggested Citation

Chung, Chae-Shick and Joo, Sangyong and Lee, Seung Moon, 원/달러 환율의 실현변동성 (Realized Volatility in Seoul Foreign Exchange Market) (December 31, 2004). East Asian Economic Review, Vol. 7, No. 2, pp. 55-77, December 2003, Available at SSRN: https://ssrn.com/abstract=3079237 or http://dx.doi.org/10.2139/ssrn.3079237

Chae-Shick Chung (Contact Author)

Sogang University - Department of Economics ( email )

35 Baekbeom-ro
Seoul, 121-742

Sangyong Joo

Konkuk University - Department of Economics ( email )

1 Hwayang-dong
Kwangjin-gu
Seoul, 143-701
Korea

Seung Moon Lee

The Bank of Korea ( email )

39, Namdaemun-ro, Jung-gu
Seoul, 04531
Korea, Republic of (South Korea)

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