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Understanding the synchronisation of the movements of Korean won and Japanese yen from an FX Market Micro-structural Approach (in Korean)

Author

Listed:
  • Haesik Park

    (Korea Institute of Finance)

  • Chi-Young Song

    (Kookmin University)

Abstract

This paper exploited two-minute interval data to understand the daily patterns of currency synchronization between Korea and Japan in the post-crisis Korean FX market. It is found that the coincidence of movements between the two currencies does not hold continuously over time. That is, a re-iterative process of currency synchronization followed by non-synchronization took place during the post-crisis period. Also, the paper finds that Korean FX market participants responded primarily to the yen/dollar exchange rate during synchronization periods whereas they paid attention to information other than the yen/dollar exchange rate during the non-synchronization periods. Finally, the Korean won showed a tendency to more closely in lock-step with the Japanese yen at times when there was greater volatility in the yen/dollar exchange rate.

Suggested Citation

  • Haesik Park & Chi-Young Song, 2006. "Understanding the synchronisation of the movements of Korean won and Japanese yen from an FX Market Micro-structural Approach (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 12(4), pages 1-34, December.
    • Handle: RePEc:bok:journl:v:12:y:2006:i:4:p:1-34
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    More about this item

    Keywords

    Synchronization; Non-Synchronization; FX Order Flow; Exchange Rate Volatility;
    All these keywords.

    JEL classification:

    • F21 - International Economics - - International Factor Movements and International Business - - - International Investment; Long-Term Capital Movements
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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