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Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] KDI Journal of Economic Policy [ISSN:] 2586-4130 [Volume:] 42 [Issue:] 4 [Publisher:] Korea Development Institute (KDI) [Place:] Sejong [Year:] 2020 [Pages:] 59-90
Verlag: 
Korea Development Institute (KDI), Sejong
Zusammenfassung: 
U.S. monetary policy has been claimed to generate global spillover and to destabilize other small open economies. We analyze the effects of certain identified U.S. monetary shocks on gross capital flows in the Korean economy using the local projection method. Consistent with previous results on other small open economies, we initially confirm that U.S. interest rate hikes are dynamically correlated with foreign outflows and residents’ inflows. That is, not only are they correlated with withdrawals by foreigners but they are also correlated with those by domestic (Korean) investors. The results are mostly driven by portfolio flows. Second, however, the marginal response to a U.S. monetary policy shock is, on average, subdued if we focus on the sample periods after the Global financial crisis of 2007-2008 (henceforth, global financial crisis). We conjecture a possible reason behind the change, an institutional change related to financial friction. If the degree of pledgeability of the value of net worth increases, the marginal responses by both investors would drop with a U.S. monetary policy shock, consistent with our findings.
Schlagwörter: 
U.S. Monetary Policy Spillovers
Gross Capital Flows
Local Projections
Financial Frictions
JEL: 
F32
F41
F42
E5
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