변동환율제하에서 미시구조적 정보를 이용한 원/달러 환율의 단기변동 분석

In this paper, we attempt to explain the short-term behavior of won/dollar exchange rates observed during the floating exchange rate regime using the microstructure information in the inter-bank market in Korea. First, we construct the hourly measure of excess demand for dollar to proxy for the trading pattern of market participants. To construct this time series, we rely on the bid/ask prices of the inter-bank market collected on a two-minute interval. We then estimate the bivariate structural VAR consisting of the actually observed won/dollar exchange rate and the proxied trading pattern of market participants to see if private information, as opposed to public information, is relevant for explaining hourly movements of won/dollar exchange rates. It is found that private information accounts for more than 30% of variations in won/dollar exchange rates, and that its effect on the won/dollar exchange rate last for more than 10 hours. Next, we construct the trading pattern of market participants on a daily basis using the same data set employed to build the hourly measure. We then examine the hypothesis that private information is useful for predicting daily won/dollar exchange rate movements. We find that the forecast model using both private and public information reduces out-of-sample forecast errors of an alternative model relying only on public information by 20～25%. The out-of-sample forecast of the model including both private and public information is also found to be more accurate than the random walk model.