서강대학교

초록/요약

After the East Asian currency crisis in 1997, international factors have raised its influences over Korean foreign exchange market even more than earlier. Many researchers found that there exists a coupling between Won/Dollar and Yen/Dollar and this relation has become stronger since the crisis. In this paper, wavelet approach is proposed to investigate the variances of Won/Dollar and Yen/Dollar and the correlation between them on a scale-by-scale basis. Since it might be more interesting to compare one with another, we compare the results of wavelet approach with ones of the realized volatility model which is parameter-free just the same as wavelet approach. As scale increases, the wavelet correlation coefficients exhibit a gradual increase up to about a monthly scale and then a decrease at higher scales. This pattern is similar to that the realized correlation coefficients show.