통화정책 발표가 외환선물 거래에 미치는 영향

Abstract

This study analyses the impact of monetary policy announcements by the Bank of Korea and the U.S. central bank on the prices, volumes, and open interest of four foreign exchange futures listed and traded on the Korea Exchange: dollar futures, yen futures, euro futures, and yuan futures. The study examines whether the prices, volumes, and open interest of the foreign exchange futures differ from other periods in even-numbered weeks (weeks 0, 2, 4, and 6) beginning on the day before, day of, and week of the monetary policy announcements by the Financial Services Commission and the Federal Open Market Committee and the regular meeting dates of the Federal Reserve from 2005 to 2019. The main findings of this study are as follows First, I find that returns on foreign exchange futures slow down around the time of monetary policy announcements. This reflects the tendency of investors to hold off on trading before the information following the monetary policy announcement is released. Second, I observe an increase in foreign exchange futures trading volume on monetary policy announcement days. This could be interpreted as investors resuming trading once the information is released after the monetary policy announcement. Third, I observe a decrease in open interest in foreign exchange futures around monetary policy announcements. This suggests that when there is uncertainty about the monetary policy announcement, investors reduce their exposure to manage their risk on foreign exchange futures. Finally, I compare the effects before and after the financial crisis and do not find any significant differences. I find that investors reduce their directional investments in foreign exchange futures during monetary policy announcements and resume trading after the uncertainty is resolved through the policy announcement, thus confirming the significant impact of monetary policy announcements in the Korean foreign exchange futures market. This study has both theoretical and practical implications as it supports that monetary policy announcements play a significant role in increasing and resolving uncertainty in the foreign exchange market.