表題番号:2012B-251 日付:2013/05/03
研究課題市場参加者の合理性と近年の通貨危機における韓国為替レートの非合理的な動き
研究者所属(当時) 資格 氏名
(代表者) 国際学術院 教授 Baak SaangJoon
研究成果概要
The purpose of this paper is to examine whether heterogeneous expectations models can explain the irrational dynamics ofthe Korean exchange rate during 2007-2008 global financial crisis. Even though the fundamental economic variables such as GDP, current account balance and unemployment rate were not badly affected by the so called sub-prime mortgage crisis and the collapse of Lehman Brothers, Korea's currency value depreciated much more drastically than other Asian currencies in 2008. The present paper adopted heterogeneous models in which two types of market participants trade foreign currencies to maximize their profits in the foreign currency market. In the first model, one type of market participants have rational expectations and the other type has static expectations. In the second model, one type is fundamentalsits who believe that the exchange rate will return to the equilibrium value based on PPP. The other type is chartists who believe the current trend will persist. In the two models, market participants can change their expectations formations functions based on their past performance.

Empirical tests using montly data for the period from 2000 January to 2012 June show that the two heterogeneous models better fit to the actual data than rational expectations models. In addition, the test results indicate the presence of heterogeneity in the expectations of market participants. However, the results are not consistent with theoretical prediction in the respect that the fraction of type-one agents do not increase but decrease when the performance of type-one expectation formation function outperform the performance of type-two expectations formation function.

Finally, the heterogeneous models better capture the irrational movements of the Korean exchange rate in 2008-2009 than rational expectations models. However, the dynamics of the Korean exchange rate in that period were much more volatile than even the predictions of the heterogeneous models, implying that to explain the excessive volatility in the Korean exchange rate during the global crisis requires more than lack of rationality of economic agents.