Read: 1129
Volume 5, Issue 6, Pages 744-761 2020
Authors: Moon-Kyum Kima, Woong Ryeol Kima
Correspondence: Moon-Kyum Kim
Eml: [email protected]
DOI: http:dx.doi.org10.25046aj050690
Keywords: Currency, RMB Yuan, CNY CNH, KRW Yen, NDF VECM
Abstract
This paper employs vector error correctionVECM to investigate the long-term equilibrium relationship between South Korea's Won, China's Yuan CNY, and Japan's Yen exchange rates with international financial market variables. The analysis focuses on the spot exchange rates of these currencies in conjunction with three key markets: foreign exchange market Won-Dollar, Yuan-Dollar, and Yen-Dollar, stock market indices KOSPI, Shangh Stock Index, Nikkei 225, interest rate spreads, and commodity prices.
The findings can be summarized as follows:
The analysis reveals that there exists a long-term cointegration relationship among the exchange rates of South Korea, China, Japan, and international financial market variables.
The Vector Error Correction Model VECM outcomes show that South Korea's offshore Won-Dollar has a significant explanatory power of approximately 50 when compared to onshore counterparts.
The VECM analysis for Yuan indicates that both onshore Yuan CNY and offshore Yuan CNH exchange rates exhibit influence, but each exhibits distinct characteristics in relation to the market variables.
Considering the overall integration with the international financial markets, the Won is found to be more closely tied compared to the Yuan.
The Yen demonstrates a stronger relationship with international financial markets than both the Won and Yuan.
Implications of this study:
A comprehensive perspective on exchange rates should include an analysis from the viewpoint of global financial markets.
Risk management strategies for Yuan investments are crucial due to its unique dynamics between onshore and offshore markets.
Effective management of exchange rate positions is necessary when considering the long-term equilibrium relationship among these Asian currencies Won, Yuan, Yen.
Korean companies should capitalize on opportunities offered by the Won's partial internationalization.
Date: November 24, 2020
Received: October 6, 2020
Accepted: October 31, 2020
Special Issues
Propose a Special Issue
Special Issue on Computing, Engineering and Multidisciplinary Sciences - Guest Editors: Prof. Wang Xiu Ying Deadline: April 30, 2025
Special Issue onempowered Smart Grid Technologies and EVs - Guest Editors: Dr. Aparna Kumari Mr. Riaz Khan Deadline: November 30, 2024
Special Issue on Innovation in Computing, Engineering Science Technology - Guest Editors: Prof. Wang Xiu Ying Deadline: October 15, 2024
Interdisciplinary Perspectives on Systems: From Theory to Application - Guest Editors: Professors Sivaram Ponnusamy et al. Deadline: September 15, 2024
Important Pages
Home
About Journal
Abstract Indexing
Archive
Call For Papers
Contact Us
Editorial Board
Instructions For Authors
Online Submission
Publication Fee
Publishing Ethics
Open Access Policy
Links
Scopus Indexed Papers
Online Submission System
Special Issue Proposal Application
Journal Template Word LaTeX
Online Submission Guidelines
Call for Papers
Abstract Indexing
Publication Fee
Copyright Form
Copyright
is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Secured By Comodo
Address
Advances in Science, Technology and Engineering Systems Journal ASTES Journal
ISSN: 2415-6698
Covina, CA 91723, USA
+1-845-442-0352
[email protected]
This article is reproduced from: https://drpress.org/ojs/index.php/HBEM/article/view/19652/19237
Please indicate when reprinting from: https://www.i477.com/foreign_exchange_RMB/KR_WON_YEN_CNY_EXCHANGE_RATE_ANALYSIS.html
Comparative Analysis of Long Term Exchange Rates Relationships KRW RMB JPY International Financial Markets Vector Error Correction Model VECM Study South Korea China Japan Currency Dynamics Risk Management Strategies for Yuan Investments Won Yen Currency Integration with Global Markets