Abstract
We empirically analyze the main determinants of foreign exchange rate (FX) volatility in emerging market economies using the data of Korea corporations and financial institutions. We find that short-term external debt is more important than trading volume of foreign investors in explaining FX volatility. Our results suggest that short-term debtcontrolling measures, such as a tax levy on short-term borrowing, can be more effective in moderating FX volatility than can the measures affecting the trading volume, such as a Tobin tax.
| Original language | English |
|---|---|
| Pages (from-to) | 138-157 |
| Number of pages | 20 |
| Journal | Emerging Markets Finance and Trade |
| Volume | 50 |
| DOIs | |
| Publication status | Published - 2014 |
Bibliographical note
Funding Information:Taeyoon Sung (tsung@yonsei.ac.kr), corresponding author, is a professor of economics at the School of Economics, Yonsei University, Seoul, South Korea. Danbee Park (dnbpark@yonsei.ac.kr; dp2695@columbia.edu) is a Ph.D. candidate in economics at the School of Economics at Yonsei University, Seoul, South Korea, and a visiting research scholar at Chazen Institute of International Business, Columbia Business School, Columbia University, New York, New York. Ki Young Park (kypark@yonsei.ac.kr) is an associate professor of economics at the School of Economics at Yonsei University, Seoul, South Korea. This paper has been developed from a research project financially supported by the Korea Institute of Finance, “An Analysis on Determinants of the Increase in Won/ Dollar Exchange Rate Volatility” (in Korean), KIF working paper no. 11-03.
Publisher Copyright:
© 2014 Taylor & Francis Group, LLC. All rights reserved.
All Science Journal Classification (ASJC) codes
- Finance
- Economics, Econometrics and Finance(all)