Advanced Search
MyIDEAS: Login

The Volatility Of The Won-Dollar Exchange Rate During The 2008-9 Crisis

Contents:

Author Info

  • HYUN KOOK SHIN

    (Korea Institute of Finance, Korea)

  • BYOUNG HARK YOO

    ()
    (Soongsil University, Korea)

Abstract

This paper estimates the volatility of the won-dollar exchange rate during the 2008-9 crisis. We find that the volatility increased in September 2008 and decreased in May 2009. The volatility rose gradually for one month and subdued in a similar manner, which implies that the volatility was not governed by any specific event or government policy. The overall changes in the volatility are similar to the movements of the CDS premium. We also find that the UK foreign exchange market experienced a similar pattern of volatility shifts and suffered smaller but longer volatility than the Korean one. The volatility shifts are estimated using a Markov switching GARCH model and a Bayesian method is suggested.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.jed.or.kr/full-text/37-4/3.pdf
Download Restriction: no

Bibliographic Info

Article provided by Chung-Ang Unviersity, Department of Economics in its journal Journal Of Economic Development.

Volume (Year): 37 (2012)
Issue (Month): 4 (December)
Pages: 61-77

as in new window
Handle: RePEc:jed:journl:v:37:y:2012:i:4:p:61-77

Contact details of provider:
Web page: http://www.jed.or.kr/
More information through EDIRC

Related research

Keywords: Bayesian Inference; Markov Switching GARCH Models; Exchange Rate Volatility; Credit Crisis;

Find related papers by JEL classification:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Oscar Jorda, . "Carry Trade," Working Papers 1018, University of California, Davis, Department of Economics.
  2. Sercu, Piet & Uppal, Raman, 2003. "Exchange rate volatility and international trade: A general-equilibrium analysis," European Economic Review, Elsevier, vol. 47(3), pages 429-441, June.
  3. Philippe Aghion & Philippe Baccheta & Romain Ranciere & Kenneth Rogoff, 2006. "Exchange Rate Volatility and Productivity Growth: The Role of Financial Development," Swiss Finance Institute Research Paper Series 06-16, Swiss Finance Institute.
  4. Hamilton, James D. & Susmel, Raul, 1994. "Autoregressive conditional heteroskedasticity and changes in regime," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 307-333.
  5. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
  6. Michael Dueker, 1995. "Markov switching in GARCH processes and mean reverting stock market volatility," Working Papers 1994-015, Federal Reserve Bank of St. Louis.
  7. Marcucci Juri, 2005. "Forecasting Stock Market Volatility with Regime-Switching GARCH Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-55, December.
  8. Yoo Byoung Hark, 2010. "Estimating the Term Premium by a Markov Switching Model with ARMA-GARCH Errors," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 14(2), pages 1-20, March.
  9. Hau, Harald, 2000. "Real Exchange Rate Volatility and Economic Openness: Theory and Evidence," CEPR Discussion Papers 2356, C.E.P.R. Discussion Papers.
  10. Dominguez, Kathryn M., 1998. "Central bank intervention and exchange rate volatility1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 161-190, February.
  11. Frenkel, Michael & Pierdzioch, Christian & Stadtmann, Georg, 2005. "The effects of Japanese foreign exchange market interventions on the yen/U.S. dollar exchange rate volatility," International Review of Economics & Finance, Elsevier, vol. 14(1), pages 27-39.
  12. Nakatsuma, Teruo, 2000. "Bayesian analysis of ARMA-GARCH models: A Markov chain sampling approach," Journal of Econometrics, Elsevier, vol. 95(1), pages 57-69, March.
  13. Sylvia Fruhwirth-Schnattaer & Sylvia Kaufmann, 2000. "Bayesian Analysis of Switching ARCH Models," Econometric Society World Congress 2000 Contributed Papers 1381, Econometric Society.
  14. Serge Rey, 2006. "Effective Exchange Rate Volatility And Mena Countries Exports To The Eu," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 31(2), pages 23-54, December.
  15. Franc Klaassen, 2002. "Improving GARCH volatility forecasts with regime-switching GARCH," Empirical Economics, Springer, vol. 27(2), pages 363-394.
  16. Silvana Tenreyro, 2003. "On the trade impact of nominal exchange rate volatility," Working Papers 03-2, Federal Reserve Bank of Boston.
  17. M. Frömmel & A. Mende & L. Menkhoff, 2007. "Order Flows, News, and Exchange Rate Volatility," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium 07/474, Ghent University, Faculty of Economics and Business Administration.
  18. Mohsen Bahmani-Oskooee & Hanafiah Harvey & Scott W. Hegerty, 2012. "Exchange-Rate Volatility And Industry Trade Between The U.S. And Korea," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 37(1), pages 1-27, March.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:jed:journl:v:37:y:2012:i:4:p:61-77. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Changhui Kang).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.