코로나 팬더믹을 전후한 원‧달러와 원‧엔환율 간 동조화효과 및 변동성의 전이효과 분석

Purpose : The major object of this study is to investigate the coupling effect & volatility spillover effect between won-yen and won-dollar exchange rate before and after the COVID-19 pandemic. Research design, data, methodology : This study focuses on analysing both the volatility of exchange rate and the coupling effect & volatility spillover effect from Won-Yen to Won-Dollar with daily exchange rate data(2008.7~2020.6) by using GARCH, Dummy-GARCH, and Dummy-GJR models. Results : Firstly, in view of market persistency, the median lag of Won-Yen & Won-Dollar exchange rate of the COVID-19 pandemic period was found much smaller than those of the previous periods. Secondary, the positive coupling effect was found from Won-Yen to Won-Dollar exchange rate. Thirdly, the positive volatility spillover effect was detected from Won-Yen to Won-Dollar exchange rate. Fourthly, any evidence was not found in detecting the asymmetry effect of volatility of Won-Dollar exchange rate. Fifthly the expansion of the volatility of Won-Dollar exchange rate was found positively elastic, however, it had no statistical significance in the COVID-19 pandemic period. Conclusions : This paper suggested the importance of the risk management of exchange rate by revitalizing the exchange fluctuation insurance, and diversifying trade settlement currencies including Yen.