Earticle

초록

영어

For the period from January 2000 to August 2021, we show that changes in the swap basis for Korean won and U.S. dollar predict changes in the exchange rate between the two currencies at weekly frequencies. More precisely, when the basis drops and becomes more negative, the exchange rate rises (i.e., dollar appreciates) subsequently, after controlling for their contemporaneous relation, the serial correlation in the exchange rate movements, and the global financial cycles. The swap basis has a factor structure and its first (level) and the second (slope) factors are useful in predicting the exchange rate, especially when used together. Based on the findings, we propose simple prediction rules that market participants can use in real time.

목차

Abstract
Ⅰ. Introduction
Ⅱ. A primer on swap basis
Ⅲ. Sample and data
Ⅳ. Empirical results
1. Predictive regressions
2. Principal component analysis
3. Logistic regressions
4. Simple prediction rules
Ⅴ. Robustness
1. Volatility effect
2. High- vs. low-volatility periods
3. Asymmetry
Ⅵ. Conclusions
References

키워드

저자

• Dong Wook Lee [ Professor, Korea University Business School ] Corresponding author
• Eun-young Shin [ Ph.D. candidate, Korea University Business School ]

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