초록
영어
For the period from January 2000 to August 2021, we show that changes in the swap basis for Korean won and U.S. dollar predict changes in the exchange rate between the two currencies at weekly frequencies. More precisely, when the basis drops and becomes more negative, the exchange rate rises (i.e., dollar appreciates) subsequently, after controlling for their contemporaneous relation, the serial correlation in the exchange rate movements, and the global financial cycles. The swap basis has a factor structure and its first (level) and the second (slope) factors are useful in predicting the exchange rate, especially when used together. Based on the findings, we propose simple prediction rules that market participants can use in real time.
목차
Abstract
Ⅰ. Introduction
Ⅱ. A primer on swap basis
Ⅲ. Sample and data
Ⅳ. Empirical results
1. Predictive regressions
2. Principal component analysis
3. Logistic regressions
4. Simple prediction rules
Ⅴ. Robustness
1. Volatility effect
2. High- vs. low-volatility periods
3. Asymmetry
Ⅵ. Conclusions
References
Ⅰ. Introduction
Ⅱ. A primer on swap basis
Ⅲ. Sample and data
Ⅳ. Empirical results
1. Predictive regressions
2. Principal component analysis
3. Logistic regressions
4. Simple prediction rules
Ⅴ. Robustness
1. Volatility effect
2. High- vs. low-volatility periods
3. Asymmetry
Ⅵ. Conclusions
References
저자정보
참고문헌
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