외환시장 압력모형을 이용한 아시아의 외환위기 신호측정에 관한 연구

The paper tests Klaassen & Jager(2011) model which is one of Exchange Market Pressure models (EMP model) by applying it in two Korean financial crises occurred in 1997 and 2008. Specifically, we investigate Korea’s two currency crises from 1996 to 1998 and from 2007 to 2009 by using Girton & Roper (1977) model, Weymark (1995) model, Pentecost et al. (2001) model, and Klaassen & Jager (2011) model and compare the results with each other to prove their argument. The results are as follows; First, when currency crises last for multiple periods, Klaassen & Jager model shows that the pressure does not plummet and is sustained during the periods. On the other hand, other models fail to do so and we can see the superiority of Klaassen & Jager model. Second, other models also hardly catch pressure before the crises while Klaassen & Jager model relatively easily does that. This indicates Klaassen & Jager model is better than other models to explain economic phenomena. Lastly, except Klaassen & Jager model, Pentecost et al. model which adds first-deference interest rate component is better than other two models because Girton & Roper model and Weymark model does not add interest-rate component and underestimate the role of it as a tool to control the exchange rate. For this reason, they fail to show existing pressure in currencies well before currency crises are observable.