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首页> 外文学位 >Why did the South Korean won depreciate against the US dollar in the recent economic crisis and the Asian financial crisis 1997/1998? Won-dollar exchange rate movements and the role of capital flows.
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Why did the South Korean won depreciate against the US dollar in the recent economic crisis and the Asian financial crisis 1997/1998? Won-dollar exchange rate movements and the role of capital flows.

机译：为什么韩元在最近的经济危机和1997/1998年亚洲金融危机中对美元贬值？美元兑美元汇率变动和资本流动的作用。

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摘要

Stable exchange rates can contribute to a country's economic development and growth, whereas large exchange rate fluctuations could impair growth, price stability, and could lead to debt problems. Modeling exchange rates has generated a large literature but is nontrivial. One strand of the literature focuses on the role of cross-border capital flows which have increased dramatically in the last 15 years. This paper argues that net capital outflows have contributed to two significant won-depreciation events in the last 15 years. In addition, it examines the role of macroeconomic fundamentals or structural variables to capture differences between the US and Korea, and their influence on the won/dollar exchange rate. The data set covers 1995 to 2010 and uses time series primarily obtained from the Bank of Korea, but also from the Treasury International Capital System, Yahoo Finance, the Chicago Board Options Exchange and the Bank for International Settlements.;Results from testing several model specifications using OLS and various ARMA regressions support the hypothesis of this paper that capital outflows indeed contributed to the depreciation of the won/dollar exchange rate. Net debt securities, net loan and net trade credit flows were significant contributors to the won-depreciation. Regarding the control variables, a growth in the Korean money supply has contributed consistently and significantly to a won-depreciation, whereas a foreign exchange reserve accumulation has tended to significantly induce a won-appreciation. This is in line with expectations from economic theory.;Policy implications include that in order to reduce adverse effects of capital flow reversals, Korea could strive on the domestic front to reduce its reliance on (foreign) loans and enhance its financial markets to make them more resilient. Regarding its global linkages, Korea may influence the composition and maturity of cross-border capital flows by regulating capital flows, by strengthening the won's international role, by diversifying the role of and links with foreign financial institutions and investors and by strengthening bilateral and regional cooperation with other central banks.
机译：稳定的汇率可以为一个国家的经济发展和增长做出贡献，而较大的汇率波动可能会损害增长，价格稳定，并可能导致债务问题。对汇率进行建模已产生了大量文献，但并非无关紧要。文献中的一小部分集中于跨境资本流动的作用，在过去的15年中，跨境资本流动急剧增加。本文认为，在过去15年中，资本净流出导致了两次重大的韩元贬值事件。此外，它研究了宏观经济基本面或结构变量在获取美韩之间的差异以及它们对韩元/美元汇率的影响方面的作用。该数据集涵盖了1995年至2010年，并使用了主要从韩国银行，但也从美国财政部国际资本系统，雅虎金融，芝加哥期权交易所和国际清算银行获得的时间序列。使用OLS和各种ARMA回归分析支持了以下假设：资本外流确实导致韩元/美元汇率贬值。净债务证券，净贷款和净贸易信贷流量是韩元贬值的重要因素。关于控制变量，韩国货币供应量的增长对韩元贬值起到了持续而显着的贡献，而外汇储备的积累则倾向于大大引起韩元升值。这符合经济理论的预期。；政策含义包括，为了减少资本流动逆转的不利影响，韩国可以在国内方面努力减少对（外国）贷款的依赖，并增强其金融市场以使其更富有弹性。关于其全球联系，韩国可能会通过监管资本流动，加强韩元的国际作用，使外国金融机构和投资者的作用多样化并与之建立联系以及加强双边和区域合作，来影响跨境资本流动的构成和成熟度。与其他中央银行。

著录项

  • 作者

    Ineichen, Adrian O.;

  • 作者单位

    Georgetown University.;

  • 授予单位 Georgetown University.;
  • 学科 Economics Finance.;Political Science International Relations.;Sociology Public and Social Welfare.
  • 学位 M.P.P.
  • 年度 2010
  • 页码 63 p.
  • 总页数 63
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类
  • 关键词

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