미국 금리 정책 변화와 아시아-태평양 주요국 환율 수익률 전이효과: 2001년 이후 분석

The Transmission Effects of U.S. Monetary Policy Changes on Exchange Rate Returns in Major Asia-Pacific Countries: An Analysis Since 2001

Purpose - This study analyzes the impact of U.S. monetary policy changes on exchange rate returns in key Asia-Pacific countries. Design/Methodology/Approach - To achieve this, the study utilizes the volatility spillover index developed by Diebold and Yilmaz, which is widely recognized for its ability to measure interconnectedness in financial markets. The analysis covers twelve currencies from January 3, 2001, to September 18, 2024, divided into seven sub-periods aligned with changes in the U.S. federal funds rate. The study evaluates net spillover effects and pairwise spillovers to understand the relationships among the currencies. Findings - The total spillover effect of 22.17% underscores significant interdependence among Asia-Pacific currencies, with spillover effects becoming more pronounced during U.S. interest rate hikes. The South Korean Won was a net recipient of information, while the Singapore Dollar and Chinese Yuan emerged as key transmitters. The 52-week rolling average analysis shows that changes in U.S. rates had a swift and dynamic impact on currency linkages. Research Implications - The findings highlight the importance for policymakers and investors to closely monitor U.S. interest rate changes, as they have substantial implications for exchange rate volatility in the Asia-Pacific region.