환율변동과 이자율, 그리고 주식수익률 간의 상호연관성 분석 = An Analysis on the Correlation among Exchange Rates, Interest Rate Differentials, and Stock Market Returns

다국어 초록 (Multilingual Abstract)

This paper is to reassess some traditional statements on exchange rate determination in relation to domestic and foreign interest rate differential movements as well as stock market returns. The conventional benchmark is based on the so-called Uncovered Interest Rate Parity(UIP, hereafter) hypothesis which states that the spread between domestic and foreign interest rates (or equivalently, the spread between forward and spot exchange rates) should be an unbiased predictor of the future change in the exchange rate. Unfortunately, this assumption is generally rejected by empirical evidence according to previous studies based on most advanced countries' data.
It is generally noted that the money market and foreign exchange market are integrated as one market in case of advanced countries such as Japan. In case of Japanese Yen, there exists a Eurocurrency market, If a certain trader sells US dollar and buys Japanese Yen in foreign exchange market, it means that his short term money market investment in US dollar is converted into that in Japanese Yen. In other words, US dollar deposit will decline, while Japanese Yen deposit will increase in the money market as a result of foreign exchange market transaction. Therefore, the foreign exchange market transaction and the Euromoney market transaction are happening at the same time. Unlike Japanese Yen, the Euromoney market for Korean Won does not exist. Therefore, it is not that difficult to think about the hypothesis for difference between the Korea and Japan in terms of correlation between exchange rate change and macroeconomic fundamentals.
It has been often reported that the most important determinant of exchange rate is the global stock market capital flow as a result of active global stock market investment since 1990s. Previous studies show that the rejection of the standard UIP hypothesis is not surprising as long as ARCH effects have been evidenced in exchange rate data.
This paper examines the correlations between exchange rate and financial market variables such as interest rate differentials and stock market returns in Korea and Japan. The objective is to determine whether any significant relationship exists between exchange rate change and other macroeconomic fundamentals in both Korea and Japan and compare the empirical results of two countries, if there exist any significant difference. This paper will use the exchange rate data presumed to be structurally changed since 1990s as well as the appropriate statistical tools such as GARCH model, which will cope with the ARCH effects evidenced in exchange rate data.

목차 (Table of Contents)

• Ⅰ. 서론
• Ⅱ. 기존연구
• Ⅲ. 실증분석
• Ⅳ. 요약 및 결론
• 참고문헌

참고문헌 (Reference)

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11 Cho, Dongchul, "Interest Rates and Exchange Rates: in the Korean, Philippine and Thai exchange crises" NBER 2001

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