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Purpose - The adjustment of one country's monetary policy can cause the macroeconomic change of other countries. Due to this, this paper attempts to analyze the impact of China’s monetary policy on South Korea’s exchange rate.
Research design, data, and methodology - Based on the flexible-price monetary model, sets of annual time series from 1980 to 2017 are employed to perform an empirical estimation. The vector error correction model is also used to exploit the short-run relationship between both of them. Of course, the South Korea’s real GDP, the China’s real GDP, South Korea’s interest rate, the South Korea’s interest rate and the South Korea’s monetary supply are treated as independent variables in this paper.
Result - The long-run findings reveal that the China’s money supply has a negative effect on South Korea’s exchange rate. Respectively, the short-run findings depicts that the China’s money supply has negative a effect on South Korea’s exchange rate. Of course, other variables selected in this paper also have an effect on South Korea’s exchange rate whatever positive or negative.
Conclusions - As the empirical evidence shows, the China’s monetary policy has a negative effect on South Korea’s exchange rate whenever in the long run or in the short run.
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참고문헌 (16)
참고문헌 신청
Abouwafia, H. E / 2015 / Monetary policy, exchange rates and stock prices in the Middle East region / International Review of Financial Analysis 37:14~28
Aleem, A / 2014 / Monetary policy credibility and exchange rate pass-through : Some evidence from emerging countries / Economic Modelling 43:21~29
Bouakez, H / 2015 / Government spending, monetary policy, and the real exchange rate / Journal of International Money and Finance 56:178~201
Bouakez, H / 2010 / Fluctuations in the foreign exchange market : How important are monetary policy shocks? / Journal of International Economics 81(1):139~153
Demir, I / 2014 / Monetary policy responses to the exchange rate : Empirical evidence from the ECB / Economic Modelling 39:63~70
Aleem, A / 2014 / Monetary policy credibility and exchange rate pass-through : Some evidence from emerging countries / Economic Modelling 43:21~29
Bouakez, H / 2015 / Government spending, monetary policy, and the real exchange rate / Journal of International Money and Finance 56:178~201
Bouakez, H / 2010 / Fluctuations in the foreign exchange market : How important are monetary policy shocks? / Journal of International Economics 81(1):139~153
Demir, I / 2014 / Monetary policy responses to the exchange rate : Empirical evidence from the ECB / Economic Modelling 39:63~70
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