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Article: Are Currencies Coordinating?: The Coupling-Decoupling Behavior of Won-Dollar and Yen-Dollar Exchange Rates

TitleAre Currencies Coordinating?: The Coupling-Decoupling Behavior of Won-Dollar and Yen-Dollar Exchange Rates
Authors
KeywordsBand-reverting behavior
Threshold cointegratlon
Structural change
Financial crisis
Won-Yen exchange rate
Issue Date2012
PublisherSeoul National University, Institute of Economic Research. The Journal's web site is located at http://www.sje.ac.kr/
Citation
Seoul Journal of Economics, 2012, v. 25 n. 4, p. 367-386 How to Cite?
AbstractThis paper studies dynamic relation, namely, two currencies of Korean won and Japanese yen, before and after the East Asian financial crisis of the late 1990s. We conjecture that there exists a longrun relation between won and yen. which is characterized by a band-reverting-type dynamic behavior. This band-reverting behavior of the two currencies implies that their relative values maintain a stable relation, keeping their discrepancy within a certain bound or band. Such band-reverting behavior is due to the arbitrage-seeking behavior of investors or the market intervention of monetary authorities. Our empirical analysis shows that the two currencies have a long-run equilibrium relation that implies a band-reverting-type dynamic relation. Our analysis also shows that this band-reverting relation becomes clearer in the post-crisis period.
Persistent Identifierhttp://hdl.handle.net/10722/189516
ISSN

 

DC FieldValueLanguage
dc.contributor.authorKim, JYen_US
dc.contributor.authorWang, YJen_US
dc.contributor.authorPark, WYen_US
dc.date.accessioned2013-09-17T14:44:29Z-
dc.date.available2013-09-17T14:44:29Z-
dc.date.issued2012en_US
dc.identifier.citationSeoul Journal of Economics, 2012, v. 25 n. 4, p. 367-386en_US
dc.identifier.issn1225-0279-
dc.identifier.urihttp://hdl.handle.net/10722/189516-
dc.description.abstractThis paper studies dynamic relation, namely, two currencies of Korean won and Japanese yen, before and after the East Asian financial crisis of the late 1990s. We conjecture that there exists a longrun relation between won and yen. which is characterized by a band-reverting-type dynamic behavior. This band-reverting behavior of the two currencies implies that their relative values maintain a stable relation, keeping their discrepancy within a certain bound or band. Such band-reverting behavior is due to the arbitrage-seeking behavior of investors or the market intervention of monetary authorities. Our empirical analysis shows that the two currencies have a long-run equilibrium relation that implies a band-reverting-type dynamic relation. Our analysis also shows that this band-reverting relation becomes clearer in the post-crisis period.-
dc.languageengen_US
dc.publisherSeoul National University, Institute of Economic Research. The Journal's web site is located at http://www.sje.ac.kr/-
dc.relation.ispartofSeoul Journal of Economicsen_US
dc.subjectBand-reverting behavior-
dc.subjectThreshold cointegratlon-
dc.subjectStructural change-
dc.subjectFinancial crisis-
dc.subjectWon-Yen exchange rate-
dc.titleAre Currencies Coordinating?: The Coupling-Decoupling Behavior of Won-Dollar and Yen-Dollar Exchange Ratesen_US
dc.typeArticleen_US
dc.identifier.emailPark, WY: wypark@hku.hken_US
dc.identifier.authorityPark, WY=rp01552en_US
dc.identifier.hkuros222114en_US
dc.identifier.volume25en_US
dc.identifier.issue4-
dc.identifier.spage367en_US
dc.identifier.epage386en_US
dc.publisher.placeKorea, Republic of-

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