Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/316571 
Autor:innen: 
Erscheinungsjahr: 
2020
Quellenangabe: 
[Journal:] East Asian Economic Review (EAER) [ISSN:] 2508-1667 [Volume:] 24 [Issue:] 2 [Year:] 2020 [Pages:] 165-184
Verlag: 
Korea Institute for International Economic Policy (KIEP), Sejong-si
Zusammenfassung: 
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.
Schlagwörter: 
Exchange Rate
Uncertainty
Currency Risk
Uncovered Interest Rate Parity
Uncertainty Index
JEL: 
C10
F20
F30
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