韓国における市場参加者のヘテロジーニアスな期待と為替レートの動き

作为第一步，本研究测量了韩国汇率的偏差。利用1982年第一季度至2009年第四季度的季度数据估算的结果表明，2005年第一季度至2007年第四季度期间，韩元的实际汇率被大幅高估，2008年第二季度至2009年第三季度期间，韩元的实际汇率被大幅低估。构建了一个异构期望模型来解释这种偏差。在解释商品价格动态和汇率动态方面，它比传统模型表现得更好，但无法解释韩元的过度波动，这意味着需要其他解释变量。

As the first step, this research measures the misalignment of the Korean exchange rates. The estimation results using the quarterly data from 1982Q1 to 2009Q4 indicate that the actual exchange rate of the Korean won was substantially overvalued for the period from 2005Q1 to 2007Q4, and substantially undervalued for the period from 2008Q2 to 2009Q3.A heterogeneous expectation model was constructed to explain the misalignment. Even though it showed better performance than conventional models in explaining commodity price dynamics, and exchange rate dynamics, it could not explain the excessive volatility of the Korean won implying other explanatory variables are also needed.