Monetary policy and exchange rate during the Asian crisis.

详细信息   

• 作者：Kim ; Jung-Kwan.
• 学历：Doctor
• 年：2002
• 导师：Ratti, Ronald A.
• 毕业院校：University of Missouri
• 专业：Economics, Theory.
• ISBN：0493667636
• CBH：3052187
• Country：USA
• 语种：English
• FileSize：7375772
• Pages：263

文摘

This paper explores the effect of monetary policy on the movement of exchange rate during the Asian crisis from both the theoretical and empirical point of view.;First, in the theoretical area, this paper tries to set up the model which fits for the Asian crisis situation. Especially, this paper stresses policy makers' behavior which is concerned about not only the stabilization of exchange rate but also the state of the economy in the crisis situation. Using the Minimum State Variable (MSV) criterion (MaCallum, 1983 and 1994), this paper shows the theoretical possibility of the non-traditional view that high interest rate may lead to exchange rate depreciation.;From the empirical viewpoint, this paper chooses the strategy that reflects the crisis situation and reduces econometric problems such as endogeneity. This paper considers credit risk, economic activities, banking crisis and economic fundamentals to capture the Asian crisis situation and chooses credit spread, stock market index, banking stock index and news variable as proxy variables, respectively.;Taking into account that these variables are affected by one another, this paper chooses VAR or VECM estimation methodology to reduce the endogeneity among the chosen variables.;This paper finds, through the empirical estimation of daily data from five countries during the period of July 1, 1997～July 31, 1998, that tightening monetary policy was harmful or had at least little impact on exchange rate during the Asian crisis. This result diverges from that of the other studies, which use time-series data.;This paper also examines the impact of other variables on exchange rate during the Asian crisis. During the sample period, economic activities, represented by stock market index and bankruptcy rate, played a key role in the determination of exchange rate. Especially Thailand and Korea, where the banking system are the most fragile, had the largest impact of banking crisis on exchange rate.;One more interesting finding of this paper is that there existed asymmetric response of exchange rate on news. Good news from own country had no significant effect, while bad news had a significant negative impact on exchange rates. Finally, credit risk effect was statistically not significant or small, different from our expectation. In spite of this result, we argue, through graphic analysis, that we cannot ignore credit risk effect, at least, at the beginning of the crisis in crisis countries.;In conclusion, this paper argues that the approach or policy tool to stabilize exchange rate should have been different, depending on the economic conditions and circumstances during the Asian crisis.