Monetary Policy Shocks and Exchange Rate Changes in Korea

초록

This paper examines whether the exchange rate respond differently to monetary policy shocks in Koreausing regression model. We find an asymmetric response of the monetary policy shocks to the monetary policyshocks in the context of Korea. Over the whole period sample, we do not find the effect of an actual interestrate on exchange rate. But we find that the estimated coefficient on the expected and unexpected change in thepolicy rate are negative and statistically significant. In the period of monetary policy easing, the estimatedcoefficient on the expected and unexpected change in the policy rate are negative but not statisticallysignificant. In contrast, the period of monetary policy tightening, the estimated coefficient on the expected andunexpected change in the policy rate are negative and statistically significant.

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