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1 The Impacts of International Political and Economic Events on Japanese Financial Markets  / 2020 /  International Journal of Financial Studies  / vol.8, no.3, pp.43 / 

10.3390/ijfs8030043
2 Dynamic Linkages between Japan’s Foreign Exchange and Stock Markets: Response to the Brexit Referendum and the 2016 U.S. Presidential Election  / 2018 /  Journal of Risk and Financial Management  / vol.11, no.3, pp.34 / 

10.3390/jrfm11030034
3 External Shocks and Volatility Overflow among the Exchange Rate of the Yen, Nikkei, TOPIX and Sectoral Stock Indices  / 2021 /  Journal of Risk and Financial Management  / vol.14, no.11, pp.560 / 

10.3390/jrfm14110560
4 Relative Effects of the Dollar and Yen on East Asian Currency Values: Focusing on the Post-Crisis Period  / 2007 /  East Asian Economic Review  / vol.11, no.1, pp.119 / 

10.11644/KIEP.JEAI.2007.11.1.166
5 Realized Volatility in Seoul Foreign Exchange Market  / 2003 /  East Asian Economic Review  / vol.7, no.2, pp.55 / 

10.11644/KIEP.JEAI.2003.7.2.107

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East Asian Economic Review Vol. 4, No. 1, 2000. pp. 65-93.

DOI https://dx.doi.org/10.11644/KIEP.JEAI.2000.4.1.60

Number of citation : 5

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Analysis of Changes in the Relationship between the KRW/USD Exchange rate and JPY/USD Exchange Rate Before and After the Economic Crisis

Author

Chae-Shick Chung

Korea Institute for International Economic Policy (KIEP)

Youngmin Jang

Korea Institute for International Economic Policy (KIEP)
Creative Commons Attribution License

EAER is an open access journal distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license.

Abstract

The purpose of this paper is to investigate the relationship between KRW/USD and JPY/USD exchange rates dividing the sample period into thress sub-periods: pre-crisis, and post-crisis. During the pre-crisis period, JPY/USD affects KRW/USD asymmetrically: the latter moved very closely with the former’s depreciation but opposite is not the case. However, we cannot find such asymmetric relation during other periods. We also estimate KRW/USD volatilities using various GARCH models and find that economic hypothesis of JPY/USD affects volatilities of KRW/USD are firmly reject over all periods.

JEL classification: F31, F32, F33

Keywords

Exchange rate, Economic Crisis , Won, Dollar, Yen, GARCH Model

Language

Korean

References

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