원/달러 외환시장의 효율성 평가

정재식 서강대학교 경제학연구원 2005 시장경제연구 Vol.34 No.1

The purpose of this paper is to try to evaluate the Seoul foreign exchange market`s efficiency gain after the foreign exchange market liberalization in Korea. We use various mathods to investigate the purpose such as interaction between KRW/USD and JPY/USD, and information spillover between KRW/USD and KOSPI200. Empirical results suggest positive aspects of the liberalization. However, the KRW/USD market is exposed to the excessive volatility caused by high trading volumes in the market conveying private informaition.

원/달러 환율의 거래관련 정보와 변동성간의 관계 : 고빈도 실거래 자료를 중심으로

鄭在植 한국국제경제학회 2006 국제경제연구 Vol.12 No.1

통화선물시장과 현물환 시장의 연계성 분석 : 원/달러, 엔/달러를 중심으로 The cases of Japan and Korea

사공용,정재식 서강대학교 경제학연구원 2004 시장경제연구 Vol.33 No.1

We investigate the empirical relationship between trading volumes and spot foreign exchange rates of Korean won (KRW/USD) and Japanese yen (JPY/USD) against the US dollar. We analyze the relationship using two different trading volumes (spot and currency futures) and realized volatility measured by high-frequency (two-minute) data (Andersen, Bollersleve, Diebold and Labys (2003)). It is found for the KRW/USD and the JPY/USD that there is a contemporaneous positive correlation between two trading volumes and volatilities. Such relation, however, does not appear consistently when historical volatility is used as proxy forvolatility. Also, empirical results suggfest that dynamic relations between volumes and volatility are very different in both foreign exchange markets. The difference in both foreign exchange markets comes either (or both) from under developed hedging markets or from market inefficiency in KRW/USD foreign exchange market.

쌀 소득보전 직접지불제도의 농가 납부금에 대한 평가

사공용,정재식 서강대학교 경제학연구원 2004 시장경제연구 Vol.33 No.2

In 2002 government announced a new farm income support policy. Government compensates eighty percent of the decrease if the rice price decreases below the average price of previous five years (target price) and rice farmers should pay 0.5% of the target price. However, since rice prices have steadily increased, rice farmers have never received benefits until now though they paid insurance fee every year. It becomes a complaint of rice farmers. In this paper, we will compare the insurance fee with the benefit for such a policy which will be calculated by Black-Scholes put option pricing model.

國際金融市場 연계의 특이성과 구조변화 : 주식, 이자율, 환율을 중심으로

李鐘郁,張源昌,鄭在植 한국금융연구원 2002 韓國經濟의 分析 Vol.8 No.1

본 논문은 한국을 포함한 동아시아 및 서구 7개 국가의 금융연계를 금융변수의 변동성과 상관관계를 연속상관계수와 시간변동 변동성을 측정하여 분석하였다. 금융시장의 국가간 연계관계에서 구조적 변화의 발생여부를 진단하고 금융변수의 각 변동성이 상관계수의 결정에 어떤 영향을 미치는가를 통계적으로 분석하였다. 본 연구를 통해 얻은 조요 결론은 금융시장간의 상관계수는 대상 금융변수 변동성의 크기보다는 변동방향의 동행성 또는 역행성 여부에 따라 그 크기가 달라진다. 나아가 각 국가의 금융변수간 상관계수의 크기와 변동범위가 지역적 거리에 크게 의존한다. 주식시장의 연계관계에서는 선진국간 주가 변동률이 강한 정(正)의 상관관계를 가지나 선진국과 동아시아국가 사이에는 그런 지배적 관계는 나타나지 않는다. 연속상관계수를 이용하여 국가간 금융변수의 구조적 변화시점을 기술적으로 찾아내는 것은 쉽지 않으나 이 방법이 채권시장의 경우 적용될 수 있다. This paper examines the relationship between financial volatility and correlation to study the international financial linkages of seven countries in Asia and in the West. Using graphs and regression techniques, this paper attempts to show that the size of correlation between international financial markets depends on the procyclical or countercyclical movements of two countries' financial variables, not on the size of their volatilities. Furthermore, contrary to IMF findings that there is a strong and positive correlation among developed countries' stock prices, the correlation is found to vary depending on the countries involved.

換率變動의 決定要因 및 향후 政策課題

Chae-Shick Chung 대외경제정책연구원 1998 East Asian Economic Review Vol.2 No.3

This thesis analyzed the feature and different points of the changing of the exchange rate of Korea won against US dollar, then discussed the direction of the completion of Korea exchange rate system. The prediction result of the model GARCH which vividly shows the phenomenon of the auto-regression of the exchange rate has indicated the level of the exchange rate yesterday could explain the circumstance of the change of exchange rate today. Meanwhile, the policy of the US exchange rate will affect the exchange rate of Korea won against US dollar and the volatility of foreign exchange rate. In the present situation of Korean economy in which the liberalization of capital and the independence of the central bank has been established, the choosing range of the exchange system could only be completely changeable exchange rate system or exchange rate system of multilateral arrangement like Europe. However, in terms of the condition of the world economy, the introduction of the latter system is too early. There is an idea that under the changeable exchange rate system which is the only choice, it is the right time to activate the main body of private economy, the financial derivatives market in which the exchange risk could be trade-off. Government should work on and create a policy that would be able to satisfy the expectations of the market participants.

외환위기를 전후한 원/달러, 엔/달러 상호관계 분석

Chae-Shick Chung,Youngmin Jang 대외경제정책연구원 2000 East Asian Economic Review Vol.4 No.1

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.

서울외환시장의 미시적 특징과 변동성 전이 효과 분석: 고빈도 자료를 중심으로 / 지정토론 / 일반토론

정재식 ( Chae Shick Chung ),송치영,이근영 한국금융연구원 2006 韓國經濟의 分析 Vol.12 No.3

본 연구에서는 분단위의 고빈도 자료를 이용하여 서울외환시장의 미시적 특징을 분석하였다. 분석기간은 2002년부터 2005년까지로, 동 기간 중 개폐장시간 및 점심시간 거래 허용 등의 제도적 변화가 있었다. 고빈도 원/달러 환율의 특징을 엔/달러 환율과 비교하였으며, 원/달러 환율의 개장시간 변동성 결정 요인을 분석하였다. 분석결과를 요약하면 다음과 같다. 첫째, 기초통계량측면에서 기간별로 원/달러 환율의 변화율에 큰 차이가 없었으며 엔/달러 환율과 유사한 특징을 보였다. 둘째, 2002~3년에 원/달러 환율의 자기상관관계가 롱메모리적인 특징을 보이고 있는데 이는 제도적 변화보다는 특정 기간의 이상 현상(anomaly)이 증폭되어 나타난 것으로 분석되었다. 셋째, 꼬리지표(tail index)를 통해 분석한 결과 예상했던 대로 서울외환시장보다는 도쿄외환시장이 규제가 없고 더 정보가 효율적으로 반영되는 시장인 것으로 나타났다. 넷째, 원/달러 환율의 경우 개장시간대 변동성이 가장 높았으며, 엔/달러 환율보다는 자기회귀적 요인에 의해 영향을 받는 것으로 분석되었다. 실증분석 결과를 종합해 볼 때 개폐장 시간의 변화나 점심시간 변화가 서울외환시장에 변화를 초래하지 않은 것으로 판단되며, 향후 정보의 투명성 제고 등 제도적 개선이 필요하다고 판단된다. This paper investigates the Seoul foreign exchange market`s stylized facts with micro-structure viewpoints. It uses data set that including minute-by-minute data on real transaction price. The sample period is from 2002 to 2005. Empirical results are summarized as follows: First, High Frequency KRW/USD`s basic statistical properties are similar to those of JPY/USD. Second, KRW/USD exchange rates during 2002~3 have long memory feature, which is inherited not from institutional change such as laws but from hourly data`s anomaly. Third, the tail index indicates that the Seoul foreign exchange market, as expected, is exposed to more regulations or information inefficiency compare with the Tokyo market. Fourth, the Seoul foreign exchange market records highest intra-day volatility in the morning during the sample span.

주문흐름을 이용한 원/달러 환율의 표본 외 예측 분석

정재식 ( Chae Shick Chung ) 韓國經濟學會 2009 經濟學硏究 Vol.57 No.2

외환거래량을 이용한 정보모형의 비교 분석: 서울외환시장을 중심으로

정재식 ( Chae Shick Chung ) 한국금융학회 2008 금융연구 Vol.22 No.4

본 연구의 목적은 미시적구조론(microstructure)의 함의를 이용하여 거래량과 정보의 함의를 분석하는 것이다. 서울외환시장에 사적정보 및 포지션조정 효과가 존재하는지, 존재한다면 환율과 변동성에 다른 함의가 있는지, 공적정보와는 어떻게 다른 효과가 있는지를 분석한다. 분석방법론은 준비모수 방법을 사용하였다. 분석결과 사적정보와 포지션조정 요인이 동시에 존재하며, 변동성에 1∼2일 영향을 미쳤다. 그러나 두 충격이 변동성에 미치는 정도는 절대적 크기에서 다른 차이가 있었다. 또한 분석기간 동안 원화의 절하와 관계있는 공적정보는 변동성에만, 절상 관련 공적정보는 환율의 평균에만 영향을 미쳤다. 따라서 공적정보라 하더라도 절상과 절하 관련 정보에 따라 환율 평균과 변동성에 미치는 함의는 달랐다. 또한 공적정보가 환율의 자기상관관계에 영향을 미친 것으로 분석되었다. Based upon daily KRW/USD exchange rate, this paper attempts empirically to disentangle two contrast microstructure views, so called, Event uncertainty view and Hot potato view. To setup two views in empirically tangible way, we use KRW/USD exchange rates and its spot trading volume. We interpret large perturbations in trading volume accompanying the large exchange rate change as an arrival of private information. This phenomenon`s interpretation is based on a market microstructure theory postulated by, for example, Easley and O`Hara(1993). Private information is diffused and incorporated into exchange rates through the trading of informed investors. The uninformed or liquidity traders infer a new piece of information via trading volume. Therefore, the trading process diffuses the information as the new piece of information arrives, resulting in a price movement or volatility on higher than normal trading volume. We connect hot potato view by Lyons(1995) with sole big change in trading volume without change in the price or volatility. High trading volume does not reflect the information processing rather than changing hands among dealers due to inventory adjustment. To setup two views in tangible way, we use KRW/USD exchange rates and its spot trading volume within the framework of nonlinear impulse response function by Gallant, Rossi and Tauchen (1993). The reason we choose the semi-nonparametric(SNP) as an empirical tool is that the SNP family of conditional densities is large enough to encompass almost any conditional density, which will minimize the possibility of wrong interpretation of the liberalization measures on account of a specification error. The SNP technique uses Hermite polynomial expansion to directly approximate conditional density. The leading term of the expansion is an ARCH/GARCH. The higher-order terms in the expansion have coefficients which are functions of the conditioning data. In this manner, the polynomial expansion allows for shape deviations from normality and conditional heterogeneity of unknown form. Nonlinear impulse response functions, summarized in Gallant, Rossi and Tauchen(1994), are the extension of the impulse response function of linear VAR to the nonlinear case. In the nonlinear model, the dynamic properties can be elicited by perturbing the vector of conditioning arguments in the conditional density.