Earticle

초록

영어

A recent study by Lee and Shin (2022) suggests that changes in the swap basis, defined as the difference between the cross-currency and interest rate swap rates, can predict the one-week ahead changes in the Korean Won-United States Dollar exchange rate. In this study, we propose using the cross-currency and interest rate swap rates as separate predictors, which corresponds to the unrestricted version of the swap basis model. The predictive power of the swap basis may not be stable depending on foreign exchange market and economic conditions, in which case the unrestricted model can better predict exchange rate changes. The unrestricted model shows superior performance in both in-sample and out-of-sample tests, and this result is robust when controlling for potential contemporaneous effects of the swap basis and other instruments, as the predicted variable instead of the original FX return. Our results are also consistent when we use daily and monthly data. In a monthly horizon, the cross-currency swap rate loses its predictive power and the interest rate swap rate tends to be a dominant predictor, which again makes the unrestricted model a better predictive model.

목차

Abstract
Ⅰ. Introduction
Ⅱ. Estimation and test
1. Data and variables
2. Prediction models
3. Out-of-sample test
Ⅲ. Empirical results
1. In-sample test
2. Out-of-sample test
Ⅳ. Robustness tests
1. Residual FX return
2. Daily and monthly data
Ⅴ. Conclusions
References

키워드

저자

• Jinyong Kim [ Professor, School of Economics, University of Seoul ]
• Yongsik Kim [ Associate Professor, Department of International Finance, Hankuk University of Foreign Studies ] Corresponding Author

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