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Economic Policy Uncertainty in the US: Does It Matter for Korea?

Author

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  • Lee, Seojin

    (Shanghai Lixin University of Accounting and Finance)

Abstract

Using the indicators of economic policy uncertainty developed by Baker et al. (2016), this paper investigates the effects of the US economic policy uncertainty on the Korea economic uncertainty as well as Korea-US foreign exchange risk. The key findings are that: (i) the degree of spillovers of policy uncertainty from the US to Korea is considerable but not comparatively high; (ii) the US policy uncertainty plays a stronger and more consistent role in Korean currency risk than Korea policy uncertainty and other macro variables. It implies that the economic policy uncertainty in the US is an important contributor to Korea-US exchange rates.

Suggested Citation

  • Lee, Seojin, 2018. "Economic Policy Uncertainty in the US: Does It Matter for Korea?," East Asian Economic Review, Korea Institute for International Economic Policy, vol. 22(1), pages 29-54, March.
    • Handle: RePEc:ris:eaerev:0337
    DOI: 10.11644/KIEP.EAER.2018.22.1.337
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    Cited by:

    1. Ivana Lolić & Petar Sorić & Marija Logarušić, 2022. "Economic Policy Uncertainty Index Meets Ensemble Learning," Computational Economics, Springer;Society for Computational Economics, vol. 60(2), pages 401-437, August.
    2. Balcilar, Mehmet & Ozdemir, Zeynel Abidin & Ozdemir, Huseyin & Wohar, Mark E., 2020. "Transmission of US and EU Economic Policy Uncertainty Shock to Asian Economies in Bad and Good Times," IZA Discussion Papers 13274, Institute of Labor Economics (IZA).
    3. Ömer Faruk TAN, 2023. "Is There Any Impact of the World Uncertainty Spillover Index (WUSI) on Firm Investment? Evidence from Turkey," Bingol University Journal of Economics and Administrative Sciences, Bingol University, Faculty of Economics and Administrative Sciences, vol. 7(1), pages 97-108, June.

    More about this item

    Keywords

    Economic Policy Uncertainty; International Spillovers; Currency Risk; Implied Volatility; Korea Foreign Exchange Market;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • F20 - International Economics - - International Factor Movements and International Business - - - General
    • F30 - International Economics - - International Finance - - - General

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