지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
오류제보하기
This paper is to reexamines some traditional statements on exchange rate determination in relation to domestic and foreign interest rate differentials. We test the so-called Uncovered Interest Rate Parity(DIP, hereafter) hypothesis which states that the spread between domestic and foreign interest 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. Thus it is often called a famous "forward discount puzzle" in this field which is yet to be explained.
It is often reported that so called "Carry Trade" might influence the financing currency such as Japanese Yen, which has relatively low volatility and low interest rates. As a result, carry trade might be one of the reasons causing the failure of DIP hypothesis. This paper examines the correlations between exchange rate volatility and the failure of DIP hypothesis in Korea and Japan. The objective is to determine whether any significant relationship exists between exchange rate volatility and the significance of the failure of the DIP hypothesis in both Korea and Japan and compare the empirical results of two countries, if there exist any significant difference.
It is often reported that so called "Carry Trade" might influence the financing currency such as Japanese Yen, which has relatively low volatility and low interest rates. As a result, carry trade might be one of the reasons causing the failure of DIP hypothesis. This paper examines the correlations between exchange rate volatility and the failure of DIP hypothesis in Korea and Japan. The objective is to determine whether any significant relationship exists between exchange rate volatility and the significance of the failure of the DIP hypothesis in both Korea and Japan and compare the empirical results of two countries, if there exist any significant difference.
목차
Abstract
Ⅰ. 서론
Ⅱ. 기존연구
Ⅲ. 실증분석
Ⅳ. 요약 및 결론
참고문헌
참고문헌 (0)
참고문헌 신청함께 읽어보면 좋을 논문
논문 유사도에 따라 DBpia 가 추천하는 논문입니다. 함께 보면 좋을 연관 논문을 확인해보세요!
-
Exchange Rate Policies in Korea: Has Exchange Rate Volatility Increased After the Crisis?
[KIEP] 연구보고서
1999 .12
-
환율변동과 이자율, 그리고 주식수익률 간의 상호연관성 분석
관세학회지
2009 .02
-
외환시장의 변동성이전효과와 원/달러 환율
무역학회지
2004 .02
-
환율변동성과 무역흐름
무역학회지
2001 .02
-
환율과 환율의 변동성이 실물경제에 미치는 영향
무역학회지
2010 .04
-
위안화 국제화에 따른 외환시장 변동성 증대가 한국의대중국 수출에 미치는 영향 분석
무역연구
2018 .01
-
동아시아국가의 변동환율제도의 도입이 환노출에 미치는 영향
동북아 문화연구
2012 .12
-
환율변동성이 고정투자에 미치는 효과
무역학회지
2005 .06
-
중력 모형을 이용한 인도 수출에서 실질 환율 및 환율 변동성 영향 분석
무역연구
2017 .01
-
The Empirical Study on Long-Memory Properties of Korean Won/Dollar Exchange Rate and Volatility
[BOK] Economic Papers
2003 .12
-
우리나라 외국인직접투자에 대한 환율변동성의 영향
무역학회지
2006 .08
-
An Empirical Research of the Impact of Exchange Rate Volatility on Corporate Performance
한국무역학회 국제학술대회
2018 .07
-
미국통화선물의 거래활동과 원/달러 환율의 변동성
무역학회지
2003 .09
-
Exchange Rate Volatility and Trade among the Asia Pacific Countries
[KIEP] East Asian Economic Review
2004 .06
-
환율 불안정성이 한국무역(수입)에 미치는 영향
무역학회지
2000 .12
-
THE VOLATILITY OF THE WON-DOLLAR EXCHANGE RATE DURING THE 2008-9 CRISIS
Journal of Economic Development
2012 .01
-
금융환경 변화에 따른 원/달러환율 및 원/엔환율의 변동성의 특성 비교
산업경제연구
2009 .10
-
원유수입과 환율변동성
자원·환경경제연구
2002 .01
-
원/달러 환율의 비대칭적 변동성
산업경제연구
2003 .10
-
Out-of-sample Forecasting Performance of Won/Dollar Exchange Rate Return Volatility Model
[KIEP] East Asian Economic Review
2009 .06
이 논문의 저자 정보
이 논문과 함께 이용한 논문
최근 본 자료
댓글(0)
0
UCI(KEPA) : I410-ECN-0101-2010-326-003097514