Uncertainty Shocks and Asymmetric Dynamics in Korea: A Nonlinear Approach
Kevin Larcher (),
Jaebeom Kim and
Youngju Kim ()
Additional contact information
Kevin Larcher: Department of Economics, Oklahoma State University
Youngju Kim: Economic Research Institute, The Bank of Korea
No 2018-12, Working Papers from Economic Research Institute, Bank of Korea
This study investigates the impact of uncertainty shocks on macroeconomic activity in Korea. For this purpose, a Smooth Transition VAR model is employed to document the state-dependent dynamics of two distinct types of uncertainty shocks, namely, financial market based and news-based. When nonlinearity is allowed to play a role in our model, quantitatively very different asymmetric dynamics are observed. Following in inflation targeting, the responses tend to be smoother and less pronounced. Our empirical results support the view that the link between uncertainty and macroeconomic activity is clear over both recessions and expansions. Furthermore, the impact of uncertainty shocks is more pronounced when economic activity is depressed especially after shocks originate from the financial market, and not from news-based policy uncertainty in Korea.
Keywords: Uncertainty shocks; Smooth transition vector autoregression; Asymmetric dynamics; Recessions (search for similar items in EconPapers)
JEL-codes: C32 E32 E52 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
https://www.bok.or.kr/ucms/cmmn/file/fileDown.do?m ... 00000144245&fileSn=1 Working Paper, 2018 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bok:wpaper:1812
Access Statistics for this paper
More papers in Working Papers from Economic Research Institute, Bank of Korea Contact information at EDIRC.
Bibliographic data for series maintained by Sungmin Park ().