
Impact of Uncertainty Created by the US post-QE Monetary Policy on Emerging Economies
- Jae-Young Kim Woong Yong Park
- 서울대학교 경제연구소
- Seoul Journal of Economics
- Seoul Journal of Economics Volume 34 No.4
- 등재여부 : KCI등재
- 2021.11
- 481 - 497 (17 pages)
This research studies the impact of uncertainty generated by the US monetary policy in the post-quantitative easing period, particularly regarding the timing and pace of policy rate normalization by the Federal Reserve. We are specifically interested in the effects on emerging market economies such as South Korea. By using a news-based uncertainty index to measure the extent of monetary policy uncertainty in the US, we find that unexpected increased uncertainty with respect to the US monetary policy has significant adverse impact on the KRW/USD exchange rate, stock prices, and capital inflow to South Korea, but does not significantly affect the macroeconomic variables of the country, such as output and consumer prices. Therefore, we expect that heightened uncertainty regarding US monetary policy normalization would, at most, have temporary disruptions in financial markets but does not have a large impact on emerging market economies.
I. Introduction
II. Empirical Method
III. Empirical Results
IV. Conclusion