환율의 비선형성 분석


Nonlinear Approaches on the Foreign Exchange Rate

정진현, 김현석

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In this study, an empirical analysis of the purchasing power parity(PPP) was conducted through the movement of the real exchange rate of the Korean won against the US dollar, Japanese yen, and Euro. To consider the effect of structural change two analytical nonlinear and asymmetric approaches are constructed. In particular, specific nonlinear framework is able to cover asymmetry but no consistent conclusions have been drawn on the support of the purchasing power paradigm. In case of the real exchange rate for the Korean won against US dollar, the purchasing power parity is supported in both models. As the analysis that includes the period of the global financial crisis from the US was carried out, there is a high possibility that the structural change of the data was implied. The empirics for the purchasing power appraisal is consistent with the hypothesis based on nonlinear and asymmetric frameworks.


Ⅰ. 서론
Ⅱ. 균형환율이론과 비선형성 논의
Ⅲ. 비선형 실증분석 모형
Ⅳ. 실증분석 결과
Ⅴ. 결론


  • 정진현 Jin-Hyeon Jeong. 제주대학교 사회교육과 부교수
  • 김현석 Hyun-Sok Kim. 부산대학교 경제학부 부교수


자료제공 : 네이버학술정보

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