환율전쟁에 따른 원/달러 환율과 엔/달러 환율의 변동성 및 상관관계 분석

The major object of this study is to analyse the characteristics of the volatility & time-varying correlation between won-dollar and yen-dollar exchange rates according to global exchange rates war. Therefore, this study focuses on analysing the volatility of GARCH, GJR, and 2-variables GARCH models which detect the characteristics of the conditional heteroscedasticity, asymmetry effect, and conditional covariance of won-dollar and yen-dollar exchange rates. Some main empirical results are summarized as follows;Firstly, in terms of the median lag analysis, the persistence of yen-dollar exchange rates is stronger than that of won-dollar exchange rates. Secondly, the expansion of the volatility of won-dollar exchange rates was found relatively elastic during the second period, while the expansion of the volatility of yen-dollar exchange rates was found relatively elastic during the third period. Thirdly, contrary to the case of won- dollar, a significant evidence was found in detecting the asymmetry effect of volatility of yen-dollar exchange rates. Fourthly, in terms of conditional covariance analysis, contrary to the case of the first period, the negative time-varying correlation between won-dollar and yen-dollar exchange rates was detected during the second period.