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Effects of foreign and domestic economic policy uncertainty shocks on South Korea

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  • Cheng, Chak Hung Jack

Abstract

This paper investigates the effects of foreign and domestic economic policy uncertainty shocks on South Korea via structural VARs. The results show that both foreign and domestic policy uncertainty shocks exert negative and significant impacts on South Korea. Foreign economic policy uncertainty shocks are found to be more dominant than domestic economic policy uncertainty shocks in influencing the Korean output. The results also indicate that economic policy uncertainty that originates from foreign countries is a significant source of disturbance to the Korean economy, but domestic policy uncertainty plays a rather limited role in explaining Korean business fluctuations.

Suggested Citation

  • Cheng, Chak Hung Jack, 2017. "Effects of foreign and domestic economic policy uncertainty shocks on South Korea," Journal of Asian Economics, Elsevier, vol. 51(C), pages 1-11.
    • Handle: RePEc:eee:asieco:v:51:y:2017:i:c:p:1-11
    DOI: 10.1016/j.asieco.2017.05.001
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    References listed on IDEAS

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    More about this item

    Keywords

    Economic policy uncertainty; Spillover effect; Business cycle fluctuations; Vector autoregression; Korean economy;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • F42 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - International Policy Coordination and Transmission

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