The global financial crisis, triggered by the subprime mortgage crisis in 2007, has put the Korean economy into the recession with financial market turmoil. This paper examines the role of foreigner's investment in bonds and the FX-hedged foreign equity fund as driving forces of KRW-USD exchange rate changes. Our empirical analysis using VAR (Vector Autoregressive) model reveals that the increases of both interest-rate arbitrage opportunity and the net asset value of foreign funds have negative relations with KRW-USD exchange rate, and vice versa. According to impulse responses, the two reasons account for about 40% of the exchange rate variations between 2008 and 2009. This significant result suggests policy implications that the authority's intervention in currency swap market and appropriate regulations on the portion of FX hedged foreign fund help stabilizing Korean FX market.

국문요약

제1장 머리말

제2장 기존 문헌

제3장 외국인 채권투자와 환율
1. 외국인 채권투자 동향 및 원인
2. 환율과의 관계

제4장 해외펀드 투자와 환율
1. 자산운용사의 선물환 거래와 해외펀드
2. 환율과의 관계

제5장 정책 제언 및 결언

참고문헌

Executive Summary