동아시아 주요국 환율의 고평가 여부 분석 : 한국, 태국, 싱가포르의 경우

This research focus on the current status on the degree of real exchange rate misalignment in Asian countries and examine whether recent movements in this area indicate any symptom of another crisis. On the measurement of currency valuations, two different methods are used. First, tests on the purchasing power parity with unit root-cointegration approach are conducted and indices of real effective exchange rates are calculated. Second, using the equilibrium real exchange rates defined as the rates equilibrating both external and internal sectors, the degree of real misalignment is measured and indexed.Three countries are considered: Korea, Singapore, Thailand. First of all, test results on the purchasing power parity relations are negative. The new index of overvaluation is invented, but giving mixed and undecisive results for their current status of misalignment. However, according to the index, the Korean won and Thai baht turned out to be overvalued before the 1997 crisis. As end of 2002 for the Korean won, there is no evidence for misalignment in any direction. For other two currencies, there can be found little symptom of real overvaluation in recent periods.Finally, based on autocorrelations, we examine how quickly nominal exchange rates adjust to various shocks after the exchange rate regime shift in Asian countries. Even if there is any real misalignment, the nominal exchange rates are adjusting more rapidly than ever. This desirable features can be partly attributed to the regime shift toward more flexible movement of exchange rates after the crisis.