Essays on Financial Globalization, Financial Exchange Rates, and Valuation Effects

다국어 초록 (Multilingual Abstract)

The recent financial globalization addresses important global issues on external accounts, such as stocks of foreign assets and foreign liabilities, capital transactions, and their influence on a country’s economy. This study focuses on valuation effects in foreign assets and liabilities due to variations in exchange rates and asset prices. In addition, this study highlights Korea in light of its need for an appropriate exchange rate index to precisely investigate relations among financial variables.
Chapter I constructs a monthly financial effective exchange rate index for Korea and investigates the relationship between a financial effective exchange rate and an external position and that between a financial effective exchange rate and capital flows. Results show that the exchange rate index and the traditional BIS trade-weighted index move in opposite directions. Moreover, empirical results indicate that an increase in the rate of change of the financial effective exchange rate significantly leads to capital outflows, especially in portfolio investment and bond investment. The use of the financial effective exchange rate may be better than the traditional trade-weighted exchange rate in explaining and estimating the wealth effects of the changes in net external positions and, furthermore, exchange rate effects in overall financial sector.
Chapter II identifies the determinants of valuation changes, focusing on a long-term perspective. The size of foreign assets and liabilities and their compositions are important in determining the direction and extent of valuation effects. In addition, financial exchange rates show a more significant relationship than other exchange rate measures do. Other variables related to a country’s macro economy and financial environment, such as GDP growth, GDP per capita, real interest rates, financial development, and age-dependency ratio, are also considered.

목차 (Table of Contents)

• Abstract ⅰ
• Ⅰ. 금융글로벌화와 금융실효환율 1
• 1. 서론 1
• 2. 금융실효환율의 구축과 총외환노출 4
• 3. 실증분석 18
• 3.1. 데이터 및 변수 설명 19
• 3.2. 분석 모형 및 결과 21
• 4. 결론 및 시사점 31
• Ⅱ. Long-term determinants of valuation effects 33
• 1. Introduction 33
• 2. Empirical Method and Data 39
• 2.1. Expected results 41
• 2.2. Extended analysis 46
• 2.3. Model structures 50
• 3. Long-term (cross section) anlaysis 52
• 4. Panel analysis 59
• 5. Annual analysis 63
• 6. Conclusions 66
• Appendix 70
• References 98
• 국문초록 103

참고문헌 (Reference)

1 김정한, 차백인, 장원창, 박해식, "자본이동과 환율변동: 분석 및 예측", 한국금융연구원 기타보고서, 2001