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In: KIET Industrial Economic Review Vol. 28 No. 3, pp. 63-72
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In: KIET Industrial Economic Review, Band No.3
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In: KIET Industrial Economic Review, Band 25 No. 5
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In: KIET Industrial Economic Review, Band 22 No. 5
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In: Korea Institute for Industrial Economics and Trade Research Paper No. 15/IER/20/4-2
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In: Pacific economic review, Band 25, Heft 5, S. 641-659
ISSN: 1468-0106
AbstractUsing a rolling‐window approach that allows time‐varying coefficients, we estimate the vector autoregressive model with the Markov chain Monte Carlo method to analyse the effectiveness of foreign exchange interventions in Korea. Our results show that a negative shock in international reserves (buying domestic currency or selling foreign currency) results in a significant appreciation of the domestic currency, a reduction in implied volatility and an increase in capital inflows. We also find that Korean exchange rate policies focus on the stabilization of the foreign exchange market rather than the depreciation of the Korean won. These patterns appear more obvious after the 2008 global financial crisis. This suggests that time variation should be taken into account to better understand the effects of foreign exchange interventions.
In: Emerging markets, finance and trade: EMFT, Band 55, Heft 9, S. 2072-2085
ISSN: 1558-0938
In: POWER-D-21-06111
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In: Journal of Time Series Analysis, Band 39, Heft 3, S. 380-401
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In: KIET Occasional Paper No. 103
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In: Emerging markets, finance and trade: EMFT, Band 51, Heft sup4, S. S68-S88
ISSN: 1558-0938
In: Emerging Markets and the Global Economy, S. 347-369
In: Materials and design, Band 225, S. 111442
ISSN: 1873-4197
In: COMIND-D-24-00543
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In: Communications in statistics. Simulation and computation, S. 1-19
ISSN: 1532-4141