Estimating the effects of FX-related macroprudential policies in Korea

Kyungmin Kim and Joo Yong Lee

International Review of Economics & Finance, 2017, vol. 50, issue C, 23-48

Abstract: This paper provides an empirical assessment of the effects of FX-related macroprudential policies introduced in Korea since 2010. Our main findings are as follows. First, Korea's recent FX-related macroprudential measures have been effective in curbing excessive capital inflows. In particular, these measures have contributed to mitigating FX market vulnerability. Second, the leverage caps had a relatively larger dampening effects on short-term foreign borrowings of foreign bank branches compared to those of domestic banks. By contrast, macroprudential stability levy has worked as a device to limit foreign borrowings for domestic banks, but not for foreign bank branches.

Keywords: FX-related macroprudential policies; Qual VAR; Bayesian VAR; Conditional forecasts (search for similar items in EconPapers)
JEL-codes: F32 F38 F41 F47 (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:reveco:v:50:y:2017:i:c:p:23-48

DOI: 10.1016/j.iref.2017.03.030

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