Volatility and dynamic currency hedging금융 시장 변동성과 동태적 외환 포트폴리오에 관한 연구

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dc.contributor.advisorMin, Hong Ghi-
dc.contributor.authorCho, Jae Beom-
dc.description학위논문(박사) - 한국과학기술원 : 기술경영학부, 2020.8,[iii, 47 p. :]-
dc.description.abstractWe propose a dynamic and efficient global currency portfolio that can significantly decrease the risk of an exogenous portfolio of world equities. We demonstrate that our dynamic conditional correlation model, which is an application of Engle (2002), can decrease the estimated return variance of a portfolio of global equities by about 20 percent relative to the static model of Campbell et al. (2010). The Euro, the US Dollar, the Swiss Franc, and the Japanese Yen all move in a manner opposite to the world equity market, implying that they are safe-haven currencies. However, since the US financial crisis, the importance of the Japanese Yen in a global currency portfolio has grown, whereas that of the Euro has diminished. Increases in foreign-exchange-market volatility and US stock-market volatility have increased the importance of safe-haven currencies in optimal currency portfolios, and the impact of foreign-exchange-market volatility is more significant than that of US stockmarket volatility. We also find a spillover effect from both US stock-market and US foreign-exchange-market volatilities to the foreign-exchange-market volatility of other currencies.-
dc.subjectDynamic optimal currency portfolio▼aRisk-management demand for currencies▼aSafe-haven currency▼aGlobal currency hedging▼aStock-market volatility▼aForeign-exchange-market volatility▼aUS financial crisis-
dc.subject동태적 최적 외환 포트폴리오▼a외환 리스크 관리 수요▼a안전 화폐▼a글로벌 외환 헤징▼a주식시장 변동성▼a외환 시장 변동성▼a미국 금융위기-
dc.titleVolatility and dynamic currency hedging-
dc.title.alternative금융 시장 변동성과 동태적 외환 포트폴리오에 관한 연구-
dc.description.department한국과학기술원 :기술경영학부,-
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