본 연구는 글로벌 환율전쟁에 따른 원/달러와 엔/달러의 환율변동성 및 상관관계 분석을 위해 GARCH, GJR 및 2변량-GARCH 모형을 이용한 결과는 다음과 같다.
첫째, GARCH(1,1)모형에서 변동성 충격의 지속성이 반감되는 중앙시차(median lag)값이 원/달러환율은 2.386으로, 엔/달러환율은 3.756으로 계산되어 충격이 있을 때 안정상태로 돌아오는 기간은 엔/달러환율이 다소 길게 나타났다. 둘째, 환율변동성의 분석결과, 제2기(엔화강세기)에는 원/달러환율의 변동성이 더 컸고, 제3기(엔화약세기)에는 엔/달러 환율변동성이 더 크게 추정되었다. 셋째, 정보의 비대칭성 분석결과, 원/달러 환율변동성의 비대칭성은 존재하지 않는 것으로 나타났으나, 엔/달러 환율변동성의 비대칭성은 확인되었다. 넷째, 시간가변적 상관관계분석 결과, 원/달러환율과 엔/달러환율이 엔화약세기(제1기)에는 정방향 동조화, 엔화강세기(제2기)에는 역방향 동조화하였다. 따라서 글로벌 환율전쟁은 경제주체의 효율적인 환위험관리의 중요성을 시사한다.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.