Do High Interest Rates Appreciate Exchange Rates during Crisis? The Korean Evidence
This paper tries to answer the following basic question: have the high interest rates had the desired effect of appreciating the nominal exchange rates in the Asian crisis countries? We use Korean high-frequency (weekly) data during the crisis and its aftermath to examine the relationship between the increase in interest rates and the behaviour of exchange rates. We find that the lead-lag relation between the exchange rate and the interest rate clearly indicates that raising the interest rate has had the usual impact of appreciating the nominal exchange rate during the crisis period. Copyright 2001 by Blackwell Publishing Ltd
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Volume (Year): 63 (2001)
Issue (Month): 3 (July)
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