Earticle

초록

영어

The purpose of this paper is to test the unbiased forward rate hypothesis (UFH) in the Won/Dollar foreign exchange markets during the period before and after the Korean financial crisis. We attempt to reconcile some conflicting results regarding the Won/D이 lar UFH by testing a diverse set of models such as the change rate model (CRM), the error correction model (ECM) , the GARCH-in-mean CRM, the GARCH-in-mean ECM, and the rolling sample regression model. The major results can be summarized five-f이 d. First, both the Won/Dollar spot and forward rates f이 low a non-stationary process with a unit root. Second, there exists a c이 ntegrating relationship between the Won/Dollar spot and forward markets, implying that two exchange rates share a common long-run swing, Third , the UFH is rejected under the formulation of the CRM and the ECM. Fourth, the test results are highly sensitive to the choice of sample period. It turned out that the Korean financial crisis at the end of 1997 made a significant contribution to a shift in the structural relationship between the Won/Dollar spot and forward markets. Fourth, the evidence from the GARCH-in-mean models indicates that there exists time-varying risk premium in the Won/Dollar exchange markets. Therefore, the existence of time-varying risk premium, especially significant after the crisis, can be regarded as one of major factors against the UFH in the Won/Dollar markets

목차

요약
 I. 서론
 II. 선물환시장 효율성 이론과 검증 모형
  1. 불편선물환가설
  2. 위험프리미엄 가설
  3. 시가번 위험프리미엄의 존재가 모형 추정에 미치는 영향
  4. 실증 검증 모형
 III. 실증검증 결과
  1. 단위근검정과 변화율모형을 이용한 검정 결과
  2. 공직분검정과 오차수정모형에 의한 불편선물환가설 검정
 IV. 모형의 안정성 검정
 V. 시가변 위험프리미염과 불편선물환가설
  1. 위험프리미엄과 GARCH 모형
  2. 환율모형 잔차에 대한 ARCH효과 검정
  3. 변화율 GARCH-in -Mean 모형과 오차수정 GARCH-in-Mean 모형의 추정
 VI. 환율모형의 성과 비교
 VII. 결론
 참고문헌
 Abstract

키워드

저자

• 유태우 [ Taewoo You | 명지전문대학 부교수 ]
• 한기수 [ Ki Soo Han | 명지전문대학 교수 ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  재무연구 [Asian Review of Financial Research]

• 간기

  계간

• pISSN

  1229-0351

• eISSN

  2713-6531

• 수록기간

  1988~2026

• 등재여부

  KCI 등재,SCOPUS

• 십진분류

  KDC 325 DDC 330