97년 외환위기를 전후한 동아시아 주요국 환율의 리스크 프레미엄 동조성 분석 : Risk Premiums in KRW/USD
鄭在植 (Chung, Chaeshick, 西江大 經濟學科)
西江經濟論集, 2003, 第32輯 1號 2003年 5月, 117-136
- 주제(KDC) 320.000
- 발행기관 서강대학교 경제연구소
- 발행년도 2003
- 총서유형 Journal
- 본문언어 한국어
- 초록/요약moremore
- The purpose the paper is to empirically investigate characteristics of the KRW/USD foreign exchange market Foreign exchange risk premium, estimated by a time series econometric model, is used as a proxy for characteristics Empirical results are summarized as follows. First, the risk premium (of KRW/USD) has, in terms of either absolute magnitude or volatility-adjusted one, increased after the Korean financial crisis Secondly, the risk premium of KRW/USD has very different shape of distribution compared with that of JPY/USD
- The purpose the paper is to empirically investigate characteristics of the KRW/USD foreign exchange market Foreign exchange risk premium, estimated by a time series econometric model, is used as a proxy for characteristics Empirical results are summarized as follows. First, the risk premium (of KRW/USD) has, in terms of either absolute magnitude or volatility-adjusted one, increased after the Korean financial crisis Secondly, the risk premium of KRW/USD has very different shape of distribution compared with that of JPY/USD
