 Exchange Market Pressure and Net Foreign Assets in Korea (in Korean)Yongbok Kim ()
Economic Analysis (Quarterly), 2009, vol. 15, issue 1, 39-72 Abstract: Net foreign asset (NFA) has become an important supply route of liquidity in Korea during the postcrisis period. We investigate how the NFA responds against various shocks such as exchange market pressure (EMP), exchange rate, kospi, and risk-free interest rate difference through the Markov-Switching VAR and the reduced VAR models. we estimate the EMP based on a small open economy model developed by Weymark (1997) taking the exchange rate pass-through into account. We find that changes in exchange rates have become more vital to reduce the EMP in the postcrisis period. We also find that the NFA responds more steadily against EMP shocks than exchange rate shocks; the NFA has an especially close relationship with the EMP under the highly volatile foreign exchange market. Our analysis suggests that the EMP is a key variable to analyze changes in the NFA. Especially, EMP provides useful information on how NFA changes in volatile foreign exchange market. Keywords: Exchange Market Pressure; Exchange Rate; Net Foreign Assets (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bok:journl:v:15:y:2009:i:1:p:39-72 Access Statistics for this article Economic Analysis (Quarterly) is currently edited by Wook Sohn, Hwan-koo Kang and Jaerang Lee More articles in Economic Analysis (Quarterly) from Economic Research Institute, Bank of Korea Contact information at EDIRC. |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.