미국 경제·통화·무역정책 불확실성이 원/달러 환율에 미치는 영향 = Effects of U.S. Economic, Monetary, and Trade Policy Uncertainties on Korean Won/US Dollar Exchange Rate

다국어 초록 (Multilingual Abstract)

This study empirically analyzes the effects of U.S. policy uncertainties, including economic policy, monetary policy, and trade policy uncertainties, on the Korean won/US dollar exchange rate. This study compares the effects of three types of policy uncertainties and considers the sub-sample period of rapid policy shifts, particularly during the first Trump administration to overcome the limitations of previous studies. To analyze the dynamic responses of exchange rate as well as the linear and lagged relationships between policy uncertainties and exchange rate, this study employ not only correlation and cross-correlation analysis but also impulse response analyses based on structural vector autoregressive model.
We find that all three types of policy uncertainties exhibit a positive correlation with the exchange rate. In particular, monetary policy uncertainty displays the highest correlation and the most immediate response, indicating that increases in U.S. monetary policy uncertainty could lead to depreciation of the Korean won. This finding is confirmed by the impulse response analysis. The shocks to all three types of policy uncertainties lead to an immediate increase in the exchange rate, although the effects tend to disappear rapidly. More specifically, shocks to economic policy uncertainty cause the largest depreciation of the Korean won, whereas the effect of monetary policy uncertainty shocks on the exchange rate has increased since the first Trump administration. In contrast, the shocks to trade policy uncertainty have relatively limited effects. These findings suggest the necessity of a proactive monitoring system and timely policy responses that account for the distinct characteristics of different types of policy uncertainties.