표제어Deviations from the Real Interest Parity : The Case of Korea

---

사전유형소장기록

---

설명In the present paper, I apply the structural VAR methodology to Korean data and investigate the real interest parity relationship. More specifically, using a structural VAR methodology, I decompose the time series for real exchange rates of Korea vis-a-vis the U.S. and Japan into a permanent and a transitory component, which I respectively associate with real and monetary shocks. In contrast with previous related research, I use an identifying restriction which leaves the short-run dynamics of the permanent component unrestricted. The results confirm the observation that real exchange rate movements have been largely driven by real shocks. Using the decomposed time series I also show that a basic prediction of a class of monetary exchange rate models -namely, that high real interest rates should be accompanied by and overvalued currency relative to its long-run values-appears to be consistent with the data when we concentrate on the monetary components of real exchange rates and real interest rate differentials. The exact version of the real interest parity relationship is rejected in Korea, and there seems to be some remaining scope for Korean monetary authority to affect the short-run deviations, independently from the monetary policies in the U.S. or Japan. However, given the prospective of increasingly open capital markets, the scope of monetary policies aimed at influencing deviations from the real interest parity seems to be limited.

---

생산자함준호

---

날짜1997-11-01

---

기록유형문서류

---

기록형태보고서/논문

---

주제정치경제

---