Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/316533 
Authors: 
Year of Publication: 
2018
Citation: 
[Journal:] East Asian Economic Review (EAER) [ISSN:] 2508-1667 [Volume:] 22 [Issue:] 1 [Year:] 2018 [Pages:] 29-54
Publisher: 
Korea Institute for International Economic Policy (KIEP), Sejong-si
Abstract: 
Using the indicators of economic policy uncertainty developed by Baker et al. (2016), this paper investigates the effects of the US economic policy uncertainty on the Korea economic uncertainty as well as Korea-US foreign exchange risk. The key findings are that: (i) the degree of spillovers of policy uncertainty from the US to Korea is considerable but not comparatively high; (ii) the US policy uncertainty plays a stronger and more consistent role in Korean currency risk than Korea policy uncertainty and other macro variables. It implies that the economic policy uncertainty in the US is an important contributor to Korea-US exchange rates.
Subjects: 
Economic Policy Uncertainty
International Spillovers
Currency Risk
Implied Volatility
Korea Foreign Exchange Market
JEL: 
C10
F20
F30
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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