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Modeling the Behavior of the KRW/USD Exchange Rate and Policy Implications

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  • Yu Hsing
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    Abstract

    This paper examines the behavior of the KRW/USD exchange rate based on four major models. Using the mean absolute percent error (MAPE) as the criterion, the purchasing power parity (PPP) model using the relative producer price index (PPI) performs the best, followed by the extended investment saving-liquidity preference money supply (IS-LM) model, the Frankel model, the purchasing power parity model based on the relative consumer price index (CPI), the Dornbusch model, the Frenkel model, and the uncovered interest parity model. The generalized Box-Cox model indicates that the log-log form for the PPP model can be rejected.

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    Bibliographic Info

    Article provided by Taylor & Francis Journals in its journal Global Economic Review.

    Volume (Year): 38 (2009)
    Issue (Month): 2 ()
    Pages: 205-214

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    Handle: RePEc:taf:glecrv:v:38:y:2009:i:2:p:205-214

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    Related research

    Keywords: PPP; UIP; monetary model; extended IS-LM model; generalized Box-Cox model;

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