A Study on the Foreign Ezchange Market Intervention Policy of Korea
The purpose of this paper is to clarify empirically the policy objective and determinant variables of the intervention, the causal relations between determinant variables of the actual intervention, and the consistency of policy orientation of the intervention under different exchange rate systems of Korea.The empirical test period is for 326 months from January 1980 to February 2008. After checking the non-stationarity of our time series data by ADF unit root test, Granger Causality Test and regression analyses by GMM has been done with our structural model.By the Grange Causality Test for the whole test period we find that exchange rate changes granger-causes market intervention of the BOK, but not vise versa. In the estimation of the structural equation by the GMM the coefficient of intervention variable shows statistical significance at 5％ level in the case of the whole period, and 1％ level in the case of <system II > and <system III>. Another GMM equation has been examined to test the direction of the intervention, and we find that sterilization oriented intervention is proved in every subperiod except under <system I >.
foreign ezchange market intervention policy ezchange rate determination
Park Sang Chul Kim SaYun
International Business, Chonnam National University Graduate School of Chonnam National University
国际会议
The 7th Northeast Asia Management & Economy Joint Conference(第七届东北亚经济与管理论坛)
北京
英文
417-431
2008-10-25（万方平台首次上网日期，不代表论文的发表时间）