Abstract
In this study, the impact of currency options(volatility) and KTB futures prices on the USD/KRW exchange rate was divided into before and after COVID-19 and a comparative analysis was conducted using cross-sectional regression analysis and VECM. The analysis results are as follows. First, looking at the results of the regression analysis, the currency option market showed that only the one-year volatility of the currency option affected the USD/KRW exchange rate in all periods. However, both 3-year and 10-year KTB futures had no significant impact before COVID-19, but appeared to have a statistically significant impact on the exchange rate starting after COVID-19. Second, cointegration exists in all time series before and after COVID-19, and in particular, it can be seen that the cointegration correlation is stronger after COVID-19 than before. Third, the results of the VECM analysis showed that the influence of KTB futures had no significance before COVID-19, but became significant after COVID-19. Fourth, the results of the shock response analysis showed that the impact of shocks in the options market and KTB futures market on the USD/KRW exchange rate was greater after COVID-19 than before and had a long lasting effect. Fifth, the results of the variance decomposition of forecast errors for the USD/KRW exchange rate also showed that the influence on KTB futures increased more after COVID-19 than before. Understanding foreign exchange is very important not only for exports and imports, but also for international trade and global economic activities. In the future, we hope that more in-depth research on the foreign exchange market and international trade will continue.
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