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Working paper
Does the Uncovered Interest Parity Hold in Korea?
In: Bank of Korea WP 2023-18
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Time‐varying effect of monetary policy on capital flows in Korea
In: Pacific economic review
ISSN: 1468-0106
AbstractThis paper examines the effect of domestic monetary policy on capital flows after controlling for the effect of conventional push factors (global factors). We conduct a time‐varying coefficient vector autoregressive (TVC‐VAR) model analysis using monthly data (January 2010–July 2019) from Korea. Our empirical results show that an expansionary monetary policy shock has a short‐run (1‐ and 3‐month) negative impact on gross inflows to the equity market, which is the main driver of gross capital inflows to Korea. This negative effect increases throughout the sample period. Monetary policy easing is also associated with a decrease in outflows of equity, representing a reversal of Korean residents' foreign equity investment as the domestic policy rate decreases. This effect dampens the negative impact on gross capital inflows, which leads to mild responses of net capital inflows in the short run. We also find a clear relationship between the level of the policy rate and its impact on gross capital inflows. The lower the policy rate, the greater the negative impact of the expansionary monetary policy shock on gross capital inflows. This time‐varying effect reflects difficulties that many emerging market economies, including Korea, face in setting monetary policy when policy rates are low.
거시경제와 금융안정을 종합 고려한 최적 통화정책체계 연구 (Optimal Monetary Policy System for Both Macroeconomics and Financial Stability)
In: KDI Journal of Economic Policy 2024, 46(1):91-129(Kor)
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What are the Consequences of the New Fiscal Rule of Korea?
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What are the Consequences of Korea's New Fiscal Rule?
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Dissecting the Effects of Terms of Trade Shocks on the Korean Economy
In: Emerging markets, finance and trade: EMFT, Band 53, Heft 5, S. 1199-1216
ISSN: 1558-0938