出版社：Korea Institute for International Economic Policy
摘要：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 KoreaU.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.
关键词：Exchange Rate;Uncertainty;Currency Risk;Uncovered Interest Rate Parity;Uncertainty Index
