• The Korean Journal of Applied Statistics
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• v.24 no.6
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• pp.1033-1043
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• 2011

In this paper, we use a nested family of models of Generalized Autoregressive Conditional Heteroscedasticity(GARCH) to verify asymmetric conditional heteroscedasticity in the KOSPI and Won-Dollar exchange rate. This study starts from an investigation of whether time series data have asymmetric features not explained by standard GARCH models. First, we use kernel density plot to show the non-normality and asymmetry in data as well as to capture asymmetric conditional heteroscedasticity. Later, we use three representative asymmetric heteroscedastic models, EGARCH(Exponential Garch), GJR-GARCH(Glosten, Jagannathan and Runkle), APARCH(Asymmetric Power Arch) that are improved from standard GARCH models to give a better explanation of asymmetry. Thereby we highlight the fact that volatility tends to respond asymmetrically according to positive and/or negative values of past changes referred to as the leverage effect. Furthermore, it is verified that how the direction of asymmetry is different depending on characteristics of time series data. For the KOSPI and Korean won-US dollar exchange rate, asymmetric heteroscedastic model analysis successfully reveal the leverage effect. We obtained predictive values of conditional volatility and its prediction standard errors by using moving block bootstrap.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.4
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• pp.339-347
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• 2021

This study aims to forecast the exchange rate by a combination of different models as proposed by Poon and Granger (2003). For this purpose, we include three univariate time series models, i.e., ARIMA, Naïve, Exponential smoothing, and one multivariate model, i.e., NARDL. This is the first of its kind endeavor to combine univariate models along with NARDL to the best of our knowledge. Utilizing monthly data from January 2011 to December 2020, we predict the Pakistani Rupee against the US dollar by a combination of different forecasting techniques. The observations from M1 2020 to M12 2020 are held back for in-sample forecasting. The models are then assessed through equal weightage and var-cor methods. Our results suggest that NARDL outperforms all individual time series models in terms of forecasting the exchange rate. Similarly, the combination of NARDL and Naïve model again outperformed all of the individual as well as combined models with the lowest MAPE value of 0.612 suggesting that the Pakistani Rupee exchange rate against the US Dollar is dependent upon the macro-economic fundamentals and recent observations of the time series. Further evidence shows that the combination of models plays a vital role in forecasting, as stated by Poon and Granger (2003).

• International Commerce and Information Review
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• v.8 no.1
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• pp.371-398
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• 2006

Gold prices are rising around the world in all major currencies. This is a telltale sign of a Stage Two gold bull where gold decouples from the US dollar. In this study, We analysed a confluence of factors seem to be feeding gold's gains and the typical shape of a secular gold bull---gold bulls' three stages. Stages one, two, and three of a secular gold bull are defined by the major changes. Each stage, considered in turn, makes perfect sense when described in terms of global investor demand. Since Stage One is currency-devaluation driven, the young gold bull is most noticeable in terms of the dominant eroding currency. Now after three or four years of stage one, Stage Two arrives. Stage Two marks a momentous event when gold decouples from the local-currency devaluation. In the case of our gold bull today, Stage Two will be here when gold starts consistently rising faster than the dollar is able to fall. After five or so years of Stage Two gains, gold has a chance at going ballistic in stage three. Stage Three is only ignited if the general public around the world starts growing enamored with gold investing. In summary, the first stage being when insiders and professionals invest in the market. The second stage is when the general public and financial media recognizes that the bull market is real. The third stage is the mania stage when people feel that not only is the bull market real, but it is a must own situation. Through the study we found that gold is entering it now.

• International Commerce and Information Review
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• v.16 no.5
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• pp.409-433
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• 2014

In this paper, I estimate long-run elasticities of US real GDP and real exchange rate between Korean Won and US Dollar on export of Korean goods to US and analyze changes in their trend by using VECM and rolling regression with a fixed window. For the purposes I use the year data from 1990 to 2013 which are selected from UNCTAD, Korea Trade Association(KTA), and Bank of Korea(BOK). The results are that the long-run elasticities of US real GDP vary from 2.849 to 2.938 for the period from 1990 to 2013 depending on the models in VECM and all of them are significant statistically. The elasticities of real exchange rate between Korean WON and US Dollar vary from 0.962 to 0.967 for the same period depending on the models in VECM and all of them are significant statistically. In case of the results through the OLS and the rolling regression, the long-run elasticities of US. real GDP are 3.015 for Basic Model, 2.949 for the modified Model 1, and 2.125 for the modified Model 2 for the period from 1990 to 2013 depending on the models and all of them are significant statistically. The average of long-run elasticities of real US GDP before the global financial crisis of 2008 is greater than that after the global financial crisis of 2008. On the other hand, the long-run elasticities of real exchange rate between Korean WON and US $ are 0.347 for Basic Model, 0.566 for the modified Model 1, and -0.217 for the modified Model 2 for the same period and all of them are significant statistically except for the modified Model 2. The average of long-run elasticities of real exchange rate before the global financial crisis of 2008 is greater than that after the global financial crisis of 2008.

• Journal of the Korea Academia-Industrial cooperation Society
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• v.10 no.5
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• pp.1043-1051
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• 2009

This study intends to discuss the influence on behaviors of won/dollar exchange rate after a FTA between Korea and US come into effect. The change of behaviors of won/dollar exchange rate has been looked into concerning other countries who have signed a FTA pact with the US, and these examples were compared with that of Korea so as to find similarities and differences. As a result of analyses, behaviors of exchange rate between FTA-pact countries were showed differently. Volatility and risk premium somewhat decreased after the FTA took effect except for Chile. As for Chile, showing intense volatility, foreign exchange risk premium rather increased. It can be concluded that the relationship between volatility and risk premium of individual exchange rate is established and FTA can influence change of these behaviors of exchange rate depending on the situation of individual country. This study will contribute to offer informations to Korea trading companies related to IT that will have to prepare for the uncertainties of change of exchange rate due to FTA between Korea and US.

• KDI Journal of Economic Policy
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• v.34 no.1
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• pp.29-52
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• 2012

During the global financial turmoil in 2007-2008, deviation from the covered interest parity (CIP) between the Korean won and US dollar through the foreign exchange swap has escalated in its magnitude beyond 1,000bp in November 2008, and it still persists around 100bp level. In this paper, we examine a newly developed margin based asset pricing model using Kalman filter approach and show that the escalation of the CIP deviation is found to be significantly related to the global dollar funding illiquidity and country-specific funding conditions. Furthermore, we find evidence that the poor funding conditions (or higher margins) are driven by the general money market illiquidity and may lead to higher funding illiquidity, which suggests the reinforcing effects of the liquidity spiral. We also show that the supply of dollar liquidity and improved funding conditions help alleviate the deviations from the parity, however the persistent anomaly is found to be related to the high level of volatility in the FX swap market.

• The Korean Journal of Financial Management
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• v.21 no.2
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• pp.65-98
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• 2004

This paper analyzes the foreign exchange exposure and the influence of determinants on the significant exposure under various return horizons of US dollar and the Japanese yen. Also this research is extended to the existence of asymmetric exposures to foreign exchange risk. The exchange rate exposures exhibit significant time variations that are very large to represent changes in cash flow sensitivities, but the relation of the significant exposures and time variations is not monotonically increasing. The extent to which a firm is exposed to exchange rate fluctuations can be explained by the level of the growth potential, nm size and leverage. For the various return horizons, firms with a higher growth potential tend to have higher exposures. And the larger firms' exposures tend to be smaller. The influences of the level of export ratio and leverage vary with return horizons and each periods. It is found that the exposures of fins are asymmetric. The asymmetry is mainly explained by the market share hypothesis. The level of export ratio commonly influences the asymmetric exposures to the US dollar and the Japanese yen.

• Asia-Pacific Journal of Business
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• v.12 no.3
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• pp.379-396
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• 2021

Purpose - The purpose of this paper is to study the rational payoff from the standpoint of foreign investors and the government when the government issues GDP-linked bonds to foreign investors. Design/methodology/approach - In this paper, the prices of 12 types of GDP-linked bond structures, which are classified according to the calculation cycle of the rate of change of linked GDP, the currency issued, and whether options are embedded, were evaluated. The Fama-French 3-factor model and the GMM-SDF model are used in the asset pricing model, and domestic and overseas investors used different basis assets. Findings - The KRW premium for US investors is estimated to be 43bp on a quarterly basis and 30bp on an annual basis, respectively, meaning that when the government issues bonds in KRW, the interest rate paid to US investors will be reduced by 30bp to 160bp (annually converted). Using the Fama-French 3 factor model, the KRW premium is the risk premium for the US market beta, meaning that if US investors do not intend to invest in US market beta, it is advantageous to receive an additional interest rate by investing in USD-denominated GDP-linked bonds. Korea's GDP- linked bond give US investors diversified investment utility, so they are willing to incorporate Korean GDP-linked bonds even if -150bp of interest is deducted from the structure issued to Korean investors. And as a result of estimating the value of the option through the GDP-linked bond with options that provides a floor for guaranteeing the principal, the value of the option linked to the annual GDP issued in dollars was the lowest. Research implications or Originality - Issuing dollar-denominated GDP-linked bonds linked to annual GDP with the option of guaranteeing the principal by the government is a way to increase investment opportunities for US investors and achieve financial stability of the government.

• The Korean Journal of Air & Space Law and Policy
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• v.6
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• pp.137-147
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• 1994

Clearly there are many legal arguments and criticisms surrounding the proposals for change in the Warsaw Convention and the need for a radical review. The question remains is unlimited liability the answer or should there be some other form of supplemental compensation and if so, what limits should be applicable. It does seem that the adopted limits of the Convention are seen by many as the first line of defence, which, dependent on political and cultural differences, the legal interpretation of contractual wording and the legal system globally have resulted in enormous differences in compensation paid whether or not the Convention limits were imposed. An example of this is in the United States, which highlights the significance of the problem in that domestic travellers without Convention Limits can, through the American legal system, obtain compensation in the multi-million dollar area for a death claim, whereas a passenger t1ying internationally would in the first instance be subject to Convention Limits. expensive legal action through litigation. To date, we can advise that insurers have not charged additional premium for unlimited liability coverage. Insurance rates as we have stated are hardening considerably. To date, average rate increases have been plus 56% for aircraft hull and plus 45% for liabilities. Insurers last year suffered global losses of around US $ 1.1 Billion against a premium income of US $ 800,000. The target premium income for 1993 is believed to be in the region of US $1.4 Billion.

• International Journal of Advanced Culture Technology
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• v.7 no.4
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• pp.63-68
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• 2019

Recently, the United States and China have declared a 25% retaliatory tariff for the partner country products of 50 billion dollar scale. "Trade war" is getting full swing. Such conflicts between economic powers may spread to Japan like the domino phenomenon following the EU (European Union) and become bigger in the global trade war. As a result, Korea has an economic system with a high degree of external dependence, and there is an expert's analysis that it will become the largest victim of the global trade war. If the WTO Dispute Settlement Authority approves this US 301 retaliation measure in the same way as the past case (US-EU hormone-treated beef imports), the United States will not import any Chinese imported products Chinese products) can be imposed. If the US launches a special 301 or super 301, which is stronger than the regular 301, then China is very likely to enforce US retaliation against it, and the trade war between the two countries could become a reality. This phenomenon is likely to have a negative impact on Korean companies. In particular, Korea, which is highly reliant on intermediate goods exports to China, is expected to suffer a great deal of damage. Therefore, Korea needs flexible response at home and abroad, it is necessary to enhance the autonomy of companies and protect export industries. Adjusting corporate tax rate as well as domestic industry height will be one way. The long-term (21 months) trade war between the United States and China has resulted in economic uncertainty. The resulting damage must be compensated. It is necessary to prepare the compensation through the economic council between countries. In the future, the punitive damage compensation system should be introduced.