???? ?? ???? ???: ??? ?? ?? ?????? ?????? ??? ?? ???? ????? ????: ??????? ??? ??? ???? (Test for the Reflection in Signaling Effect of the Foreign Exchange Intervention with the Threshold of Economic Fundamental: An International Comparison Focusing on Asymmetric Information and Lucas Cr)

???? ?? ??? ??? ?? ??? ?????? �� ?????? ?????? ?? ?? ?? ? ??? ??? ???? ??? ???? ???? ??. ??? ?? ?? ?? ?? ?? ?? ?? ?? ??? ?? ??? ??? ?????? ???? ?? ??? ?? ?? ????? ?? ??? ????? ???? ??? ? ? ??. ??? ???? ??? ????? ??? ?? ??? ????? ?? ??? ??? ?? ??????? ?? ?????. ?? ?? ?? ????? ???? ?? ???? ??? ?? ????? (?????) ??? ?? ?? ? ??? ???? ??? ??? ??? ??? ?? ?? ???? ?? ?? ?? ??? ??? ? ??. ?? ???? ??? ????? ????? ??? ??? ???? ???? ??? ??? ??? ??? ???? ?? ??(signaling effect)? ???? ??? ???? ????? ??? ??? ???? ????? ???? ? ??? ��??? ??��?? ?? ?? ? ??. ??? ?? ?? ???? ???? ?? ????? ?? ? ??? ??? ???? ???? ??? ?? ??? ??? ??? ???? ??? ??? ???? ?? ?? ?? ?????. ? ?? ??? ?? ?? ?? ? ???? ?? ??? ???? ???? ?? ????? ?? ??? ??? ????? ??? ?? ??? ????? ??? ??? ???? ??? ?? ???? ???. ?? ?? ??? ??? ???? ?? ?? ??? ?? ?? ??? ?????? ????? ??? ?? ??? ???? ?? ???(???)? ????.

The signaling effect approach of foreign exchange market intervention emphasizes the asymmetric information between the central bank and the market participants who have limited information accessability. This paper tries to test whether this signaling effect is reflected by the economic fundamental. The behind logic is closely related with Lucas (1976) critique on the policy intervention and its structural change of economy through the economic agent's behavioral response for the intervention. In particular, the foreign exchange market (selling) intervention may rather raise the exchange rate when the market interpret the intervention is a signal of aggravation in foreign exchange status. This opposite direction result may happen when the economic fundamental of a country is deteriorated. This paper found this reflection of intervention happened in Korea after Asian crisis as in Kim (2010). In a VAR model, we analyzed the dynamic impulse effects of macroeconomic variables to the co-integration disequilibrium error of exchange rate. According to the impulse-response analyses, the won/dollar foreign exchange rate disequilibrium error was significantly affected by the intervention positively not for Japan but just for Korea. The result suggests that any intervention may waste the foreign reserve when the fundamental (especially current account) becomes worse without protecting the wild depreciation of local currency.