Foreign Exchange Rate Uncertainty in Korea
- Authors
- Lee, Seojin
- Issue Date
- Jun-2020
- Publisher
- KOREA INST INT ECONOMIC POLICY
- Keywords
- Exchange Rate; Uncertainty; Currency Risk; Uncovered Interest Rate Parity; Uncertainty Index
- Citation
- EAST ASIAN ECONOMIC REVIEW, v.24, no.2, pp.165 - 184
- Journal Title
- EAST ASIAN ECONOMIC REVIEW
- Volume
- 24
- Number
- 2
- Start Page
- 165
- End Page
- 184
- URI
- https://scholarworks.bwise.kr/hongik/handle/2020.sw.hongik/11687
- DOI
- 10.11644/KIEP.EAER.2020.24.2.375
- ISSN
- 2508-1640
- Abstract
- Applying Ismailov and Rossi (2018), I newly construct the Korea FX uncertainty based on the density distribution of historical forecast errors. This uncertainty index properly captures the rare but significant events in the Korean currency market and provides information distinct from other uncertainty measures in recent studies. I show that 1) FX uncertainty arising from unexpected depreciation has a stronger impact on Korea-U.S. exchange rates and that 2) macro variables, such as capital flows or interest rate differentials, have predictive ability regarding Korea FX uncertainty for short horizons. These findings enable us to predict the events of sudden currency crashes and understand the Korea-U.S. exchange rate dynamics.
- Files in This Item
- There are no files associated with this item.
- Appears in
Collections - School of Economics > Economics Major > 1. Journal Articles
![qrcode](https://api.qrserver.com/v1/create-qr-code/?size=55x55&data=https://scholarworks.bwise.kr/hongik/handle/2020.sw.hongik/11687)
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.