외환거래량을 이용한 정보모형의 비교 분석：서울외환시장을 중심으로 (The Role of Information in the Seoul Foreign Exchange Market)

서지정보

· 발행기관 : 한국금융학회
· 수록지 정보 : 금융연구 / 22권 / 4호 / 159 ~ 184페이지
· 저자명 : 정재식

초록

본 연구의 목적은 미시적구조론(microstructure)의 함의를 이용하여 거래량과 정보의 함의를 분석하는 것이다. 서울외환시장에 사적정보 및 포지션조정 효과가 존재하는지, 존재한다면 환율과 변동성에 다른 함의가 있는지, 공적정보와는 어떻게 다른 효과가 있는지를 분석한다. 분석방법론은 준비모수 방법을 사용하였다. 분석결과 사적정보와 포지션조정 요인이 동시에 존재하며, 변동성에 1∼2일 영향을 미쳤다. 그러나 두 충격이 변동성에 미치는 정도는 절대적 크기에서 다른 차이가 있었다. 또한 분석기간 동안 원화의 절하와 관계있는 공적정보는 변동성에만, 절상 관련 공적정보는 환율의 평균에만 영향을 미쳤다. 따라서 공적정보라 하더라도 절상과 절하 관련 정보에 따라 환율 평균과 변동성에 미치는 함의는 달랐다. 또한 공적정보가 환율의 자기상관관계에 영향을 미친 것으로 분석되었다.

영어초록

Based upon daily KRW/USD exchange rate, this paper attempts empirically to disentangle two contrast microstructure views, so called, Event uncertainty view and Hot potato view. To setup two views in empirically tangible way, we use KRW/USD exchange rates and its spot trading volume. We interpret large perturbations in trading volume accompanying the large exchange rate change as an arrival of private information. This phenomenon’s interpretation is based on a market microstructure theory postulated by, for example, Easley and O’Hara(1993). Private information is diffused and incorporated into exchange rates through the trading of informed investors. The uninformed or liquidity traders infer a new piece of information via trading volume. Therefore, the trading process diffuses the information as the new piece of information arrives, resulting in a price movement or volatility on higher than normal trading volume. We connect hot potato view by Lyons(1995) with sole big change in trading volume without change in the price or volatility. High trading volume does not reflect the information processing rather than changing hands among dealers due to inventory adjustment.
To setup two views in tangible way, we use KRW/USD exchange rates and its spot trading volume within the framework of nonlinear impulse response function by Gallant, Rossi and Tauchen (1993). The reason we choose the semi-nonparametric(SNP) as an empirical tool is that the SNP family of conditional densities is large enough to encompass almost any conditional density, which will minimize the possibility of wrong interpretation of the liberalization measures on account of a specification error. The SNP technique uses Hermite polynomial expansion to directly approximate conditional density. The leading term of the expansion is an ARCH/ GARCH. The higher-order terms in the expansion have coefficients which are functions of the conditioning data. In this manner, the polynomial expansion allows for shape deviations from normality and conditional heterogeneity of unknown form. Nonlinear impulse response functions, summarized in Gallant, Rossi and Tauchen(1994), are the extension of the impulse response function of linear VAR to the nonlinear case. In the nonlinear model, the dynamic properties can be elicited by perturbing the vector of conditioning arguments in the conditional density.
Under the assumption that the conditional density of the underlying process depends on at most L lag, the j-step ahead conditional mean profile given initial condition can be expressed by: [ ]



where [ ] denotes the conditional density with . [ ]
Tested hypothesis and its relevant empirical setups are summarized as follows:

Hypotesis 1 : Private information shock exists [ ]
Hypotesis 2 : Position adjustment shock exists [ ]
Hypotesis 3 : Both private information and position shocks size and duration are same [ ]
Hypotheiss 4 : Public information shock exists [ ]

where , [ ]
,

Empirical results show that both views are prevalent in the market. However, private information affect, as expected, more prolonged and larger on the exchange rate’s volatility than hot potato view related shock. Additionally we find that public information shock affects the exchange rate asymmetrically : KRW depreciation and appreciation related public information affects volatility and mean, respectively. This asymmetric public information shock is the main source of statistically significant autocorrelation in the change in KRW/USD, which is one of salient features compared to other international currency.

참고자료

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