한국과 일보의 국제평가관계 분석 = International Parity Relationships between Korea and Japan

다국어 초록 (Multilingual Abstract)

This paper examines the purchasing power parity, uncovered interest parity and real interest parity relationships between Korea and Japan using the test statistics of VEC’s cointegration in order to identify the long-run equilibrium structure between the two countries. We further investigate the dynamic adjustment process of the real exchange rate and risk premium employing the empirical vector function, and try to forecast the exchange rate. The main findings are as follows: Both the purchasing power parity and uncovered interest parity hold between Korea and Japan. The inflation in Korea reduces the real depreciation of Won/Yen rate, but that in Japan rather increases it. The Won/Yen depreciation overshoots to the interest shocks of the two countries.