자유변동환율제와 환율변동성

이근영 ( Keun Yeong Lee ) 한국경제학회 1999 經濟學硏究 Vol.47 No.2

본 논문은 GARCH(1,1) 및 EGARCH(1,1)모형을 이용해 市場平均換率制로부터 최근 自由變 動換率制 시행 이후의 기간까지의 週間 원-달러, 원-엔, 원-파운드 그리고 원-마르크換率의 變動性을 분석하였다. 자유변동환율제 시행시점을 기준으로 더미변수를 추가한 모형을 추정 한 결과 더미변수들은 환율, 분포, 모형에 관계없이 대체적으로 유의적이지 못한 것으로 나타났다. LR檢定에 따르면 더미변수들이 0이라는 귀무가설은 모두 받아들여진다. 이는 自由變動換率制로의 移行이 條件附 分散으로 측정된 週間 換率變動性에 큰 영향을 미치지 못하였음을 의미한다. 한편, LR검정결과 GARCH(1,1)모형을 추정하는 데 換率分布가 t-分布나 一般誤差 分布보다는 正規分布를 따른다는 귀무가설은 모두 기각된다. 이는 外換危機의 여파 또는 自由變動換率制로의 이행으로 인하여 일시적이나마 換率變動性이 커짐에 따라 환율분포가 정규 분포보다 더욱 두꺼운 꼬리분포를 가지고 있음을 의미한다.

원/달러 환율의 표본외(標本外) 예측(豫測)

이근영 ( Keun Yeong Lee ) 한국국제경제학회 2009 국제경제연구 Vol.15 No.2

주성분분석을 이용한 시스템적 리스크 측정

이근영 ( Keun Yeong Lee ) 한국금융연구원 2015 금융연구 Vol.29 No.1

The paper measures systemic risk of domestic stock markets based on interconnectivity by using principal components analysis. It first estimates systemic risk measured by AR (absorption ratio) and PCAS which Kritzman et al. (2011) and Billio et al. (2012) employ respectively. It also derives out-of-sample forecasts of PCAS and then estimates correlations with CDS premium and macroeconomic variables. Finally, impulse response and variance decomposition analyses are performed to confirm how well these forecasts dynamically capture the movements of macroeconomics variables such as coincident composite index, industrial production, and employment rate. According to the empirical results, systemic risk measured by PCAS persistently decreased as economic activity recovered and an inflow of foreign capital increased after 2004. However, as soon as the subprime mortgage crisis of the U.S. occurred, it began to increase. PCAS temporarily went down in the early 2008, but steeply went up just after the collapse of Lehman Brothers. It again rises during the Euro financial crisis period. The movements of PCAS and CDS premium are similar in both rise and fall periods and correlation coefficients of these variables are approximately greater than 0.7. Changes in PCAS also have significantly negative correlations with changes in industrial production or coincident composite index at the 1% level. This paper estimates VAR models with two variables and two time lags in order to analyze dynamic relations with the real economy. The estimation results of impulse response shows that a shock to systemic risk measured by PCAS decreases changes in industrial production and coincident composite index together. Response of coincident composite index is generally greater than that of industrial production. The estimation results of variance decomposition also prove that a shock to changes in PCAS explains variance of coincident composite index changes better than that of industrial production changes. As mentioned above, principal components analysis measures systemic risk depending on interlinkage or integration among markets. On the one hand, because the definition of systemic risk is still uncertain and various, it should be used together with other measurement methods in complementary sense. On the other hand, it is confidently expected that this study contribute to inquire into the cause of systemic risk and accordingly prevent a systemic financial crisis and the collapse of the real economy, by improving intrinsic understanding of systemic risk.

우리 나라 선물환시장의 (先物換市場) 효율성에 관한 실증적 연구 ( 경제학문헌목록 주제분류 : F3 )

이근영 ( Keun Yeong Lee ) 한국경제학회 1998 經濟學硏究 Vol.46 No.3

본 논문에서는 1일 환율변동 허용폭이 土2.25%이었던 기간의 선물환율을 이용하여 1주일물또는 1개월물 주별 선물환율이 미래 현물환율에 대한 不偏豫測値인가라는 假說을 豫測誤差,回歸分析 그리고 共積分方法 및 誤差修正模型 등을 통하여 검정하여 보았다. 검정결과 1주일물 선물환율의 경우 미래 현물환율의 불편추정치라는 가설이 받아들여지나 1개월물 선물환율 의 경우에는 기각된다. 또한 標本外 豫測成果分析을 통해 선물환율의 불편성 가설 모형이 다른 모형에 비해 미래 현물환율을 예측하는 데 우수한가를 살펴보았다. 분석결과 선물환율의 불편성 가설모형은 1개월물 선물환율은 물론 불편성 가설이 성릴하는 1주일물 선물환율의 경우에도 다른 모형들에 비해 미래예측능력이 상대적으로 우수하지 않은 것으로 나타났다.

구조형 모형을 이용한 한,미,일 주식시장간의 상호작용

이근영 ( Keun Yeong Lee ) 한국금융학회 2004 金融學會誌 Vol.9 No.1

동조화 현상의 동태적 분석 : 원 / 달러와 엔 / 달러 환율의 경우

이근영(Keun Yeong Lee) 한국경제학회 2001 經濟學硏究 Vol.49 No.4

This paper examines how the comovement of daily won/dollar exchange rates with daily yen/dollar exchange rates has dynamically changed. The estimation results of bivariate GARCH type models with time varying correlations suggest that the conditional correlation between two exchange rates are dynamically varying over time. The LM and LR test results also confirm that bivariate GARCH type models with time varying correlations outperform those with constant correlations. The conditional correlation between won/dollar exchange rates and yen/dollar exchange rates also tends to increase persistently over the past eleven years, especially after the 1997 currency crisis, as national capital and foreign exchange markets are liberalized and open.

수입 및 국내물가에 대한 환율전가효과

이근영 ( Keun Yeong Lee ) 韓國經濟學會 2009 經濟學硏究 Vol.57 No.4

국내외 공급 및 수요 충격이 국내거시경제에 미치는 영향 -잠재요인모형을 사용한 경우

이근영 ( Keun Yeong Lee ) 한국경제학회 2011 經濟學硏究 Vol.59 No.4

본 연구에서는 자산가격과 환율 자료를 사용하여 국내외 공급과 수요 등 세 가지잠재요인을 Pavlova and Rigobon(2007)의 모형에 의해 도출한 후 이들 요인들에 대한 충격이 국내거시경제에 어떤 영향을 미치는가를 VAR 모형을 통해 살펴 보았다. 분석결과 한국과 미국에서 양(+)의 공급충격은 동시에 한국과 미국의 주가를 상승시키나 미국수요대비 국내수요에 대한 양(+)의 충격은 국내주가를 상승시키는반면 미국주가를 하락시킨다. 또한 VAR 모형의 충격반응분석결과 국내외 양(+)의 공급충격은 수출과 산업생산, 그리고 BSI 등을 상승시키는 반면 상대적인 양(+)의 국내 수요충격은 이들을 하락시킨다. 한편 소비자물가나 실업률의 경우는 이들 충격의 효과가 반대로 나타나나 통계적 유의성은 거의 없다. The paper first derives the three latent factors related to supply and demand shocks from asset prices and foreign exchange rates by using Pavlova and Rigobon`s(2007) model and then analyzes the effect of shocks to these factors on domestic macroeconomy by using a VAR model. It shows that positive supply shocks in Korea and the US raise both KOSPI and Dow Jones Index together. On the other hand, positive relative demand shocks increase KOSPI, but decrease Dow Jones Index. According to the impulse response analyses, exports, industrial production, and BSI are gone up by positive domestic and foreign supply shocks, but down by positive relative demand shocks. The impacts of these shocks on the consumer price index and the unemployment rate are in the opposite direction, but are statistically little significant.

유가충격이 거시경제변수에 미치는 영향

이근영 ( Keun Yeong Lee ) 한국금융학회 2011 금융연구 Vol.25 No.4

본 연구에서는 유가충격이 거시경제변수에 미치는 영향이 기간에 따라 어떻게 변화되어 왔는가를 살펴보았다. 30년 단위로 표본을 순차적으로 이동시켜 5변수 오차수정 모형을 추정하는 경우 유가가 1% 상승함에 따라 평균적으로 대략 6분기 동안 소비자물가는 0.104% 상승하나 GDP와 M2는 각각 0.042%와 0.034% 하락한다. 반면 원/달러환율은 초기에는 하락하다 1년 후 상승세로 돌아선다. 또한 10년 단위로 표본을 순차적으로 이동시켜 2변수 차분 VAR 모형을 추정한 결과 유가충격에 대한 소비자물가와 M2의 반응은 점진적으로 약해지는 반면 글로벌 금융위기 이후에는 원/달러환율, 소비자물가, M2의 반응이 모두 커진다. 한편 GDP에 대한 부정적인 효과는 1990년대 말부터 약화된다. 이러한 거시경제변수의 반응은 세계적인 수요와 공급의 변화 등과 같은 외생적 요인 외에 고환율과 저금리정책, 그리고 국내 산업구조의 변화 등과 밀접한 연관성을 갖는 것으로 보인다. 한편 유가는 하락할 때보다 상승할 때 원/달러환율과 소비자물가지수에 더 큰 영향을 미친다. The paper examines how the macroeconomic effects of oil price shocks have been changed over the past 40 years using multivariate ECMs and bivariate VARs. It first estimates 5-variable ECMs 80, 60, and 40 times, respectively, using a moving window of 20, 25, and 30 years. The estimation results show that in case of estimating the 5-variable ECM based on a moving window of 30 years, statistical significance of impulse responses and variance decompositions is the highest. In this case, an 1% positive oil price shock results in 0.104% increase in CPI, but 0.042% and 0.034% decreases in GDP and M2 on average, respectively. Won/dollar exchange rates decrease in the initial stage, but begin to increase from 1 year later. The paper then estimates bivariate VARs 120 times using a moving window of 10 years in order to investigate whether the effects of oil price shocks on macroeconomic variables are time varying or not. The estimation results show that the responses of CPI and M2 to oil price shocks gradually become weaker until 2007, but that those of won/dollar exchange rates as well as CPI and M2 are bigger after the global financial crisis. On the other hand, the negative effects of oil price shocks on GDP become weaker from the end of the 1990s. Such responses of macroeconomic variables seem to be closely associated with either changes of the domestic industrial structure or undervalued won and low interest rate policies as well as outside factors such as global demand and supply changes. Particularly, the negative effect of oil price shocks on inflation is more deteriorated in case of including the post-crisis period. This phenomenon results from demand side factors like low interest rate and undervalued won policies rather than supply side factors like hike of wage and raw material price. It implies that recent inflation has a feature of demand pull inflation as well as cost push inflation. There exists a possibility that responses of macroeconomic variables in case of oil price increase are different from those in case of oil price decrease because of downward rigidity of price and asymmetry of monetary policy. In order to test asymmetric effects of oil price shocks, the paper estimates 6-variable ECMs 40 times using a moving window of 30 years. The oil price variable is decomposed into two new variables: OP+ includes positive changes in oil prices and zero otherwise, while OP- consists of negative changes in oil prices and zero otherwise. According to the empirical results, oil price shocks have more impact on macroeconomics variables when the oil price rises rather than falls. Furthermore, the asymmetric responses of won/dollar exchange rates and CPI to oil price shocks are statistically significant at the conventional level. In the near future, this argument needs to be developed in the direction to theoretically and empirically study what make the responses of macroeconomic variables to oil price shocks change over times. One of interesting topics may be a microeconomic approach based on causal relationships between parameter estimates or impulse response functions of ECMs and the industrial structure change.

국제금융시장 충격이 국내금융시장 변동성에 미치는 영향

이근영 ( Keun Yeong Lee ) 한국금융연구원 2010 금융연구 Vol.24 No.4

This study analyzes the impact of international financial shocks on the volatility of domestic financial markets. It simultaneously investigates casual relations between domestic and foreign financial markets such as equity, foreign exchange, and money or bond markets. It combines and extends the models of Lastrapes (2005, 2006) and Rigobon and Sack (2003). It is assumed that foreign variables such as U.S. interest rates, Dow Jones Index, and yen/dollar exchange rates are block exogenous, following Lastrapes (2005, 2006). Lastrapes (2005, 2006) used Cholesly factorization to recognize parameters in structural VAR models. But this method cannot reflect contemporaneous relations in financial markets well, because it unilaterally restricts causal relations between financial variables. Therefore, the paper estimates contemporaneous parameters in structural VAR models under the assumption that conditional variance-covariance matrix is time varying like in Rigobon and Sack (2003). In addition, it is also assumed that foreign variables in conditional variance-covariance matrix are block exogenous in order to reduce the number of excessive parameters which should be estimated. The whole sample period is from January 4, 1999 to April 21, 2009 and the sample size is 2539. Two day`s average return data are considered to avoid time lag between Korea and U.S. The empirical results show that news shocks in domestic stock, foreign exchange, and money or bond markets cannot significantly influence volatility of the other domestic financial variables, when foreign financial variables are considered together. On the other hand, news shocks to foreign variables such as U.S. interest rates, Dow Jones Index, and yen/dollar exchange rates have relatively large impact on volatility of domestic financial variables. Particularly, shocks to Dow Jones Index and yen/dollar exchange rates have stronger impact on volatility of domestic financial markets than shocks to U.S. Treasury bill and federal funds rates. Volatility of domestic money and bond markets is powerfully influenced by shocks to U.S. federal funds rates rather than Treasury bill rates. Shocks to federal funds rates also have much stronger effect on volatility of call rates than volatility of corporate bond yield rates. Volatility of corporate bond yield rates is more affected by shocks to Dow Jones Index than shocks to yen/dollar exchange rates. On the other hand, volatility of call rates is more strongly influenced by shocks to yen/dollar exchange rates than shocks to Dow Jones Index. The empirical results suggest that the domestic monetary policy is closely associated with the foreign exchange policy because a balance of current accounts is very important in a small open economy.