誤差修正模型을 이용한 원화 換率의 豫測 = An Empirical Analysis of Won/Dollar Exchange Rate

다국어 초록 (Multilingual Abstract)

We make an empirical analysis of Won/Dollar exchange rate. Regression equations based on flow approach and asset market approach are estimated. Trade balance, balance of current account are used as explanatory variables of the regressiong based on flow approach. A flexible price monetary model and Hooper-Morton model are employed in asset market approach.
Empirical results we got in the paper are as follows. First, as the amount of trade balance surplus increases, Won/Dollar exchange rate tends to decrease. Second, signs of regression coefficient estimates of the flexible monetary model are not consistent with those that the monetary model tells. When cumulative trade balance is incorporated, signs are switched. Third, the null of no cointegration of most of the regression model used in the paper are rejected at 10% significance level. Fourth, error correction models which make use of trade balance and current account respectively generate more accurate forecasts than a random walk model does. This implies that both of trade balance and current account are still useful information for predicting future change of Won/Dollar exchange rate in 1990's even though liberalization of capital account has been achieved considerably in Korea.

목차 (Table of Contents)

• 1. 서론
• 2. 환율결정 모형
• 3. 모형의 추정, 공적분검정 및 예측분석 결과
• 4. 결론