FX Funding Risks and Exchange Rate Volatility Korea's Case

Transmitting Global Liquidity to East Asia: Policy Rates, Bond Yields, Currencies and Dollar Credit

“…10 They also show stronger expectations of won appreciation than of renminbi appreciation. Bruno and Shin (2012) argue on the basis of panel regression analysis of BISreporting bank flows that Korean macroprudential measures explain the difference, and Ree et al (2012) also give weight to this explanation. Kim (2013) cites evidence that leverage caps had a greater effect on short-term foreign debt than the macroprudential levy.…”

Capital Flows and Exchange Rate Volatility in India: How Crucial Are Reserves?

“…For Korea, Kim and Yang (2009) conclude that accumulation of foreign exchange reserves limited the effects of capital inflow shocks upon nominal and real exchange rates, although stock prices increased. Again for Korea, Ree et al (2012) find the sensitivity of exchange rate volatility to changes in the VIX is a function of the external debt-to-GDP ratio, foreign participation in bond market, interest differentials, changes in the VIX and macroeconomic variables; although reserve adequacy does not feature in their regression, they cite its improvement contributed to stabilization of the won after the global financial crisis.…”

“…Again for Korea, Ree et al. () find the sensitivity of exchange rate volatility to changes in the VIX is a function of the external debt‐to‐GDP ratio, foreign participation in bond market, interest differentials, changes in the VIX and macroeconomic variables; although reserve adequacy does not feature in their regression, they cite its improvement contributed to stabilization of the won after the global financial crisis.…”

Real Consequences of Shocks to Intermediaries Supplying Corporate Hedging Instruments

“…Bank of Korea (2008) documents that 9 See Appendix IA.B for illustration of cash flows. 10 Domestic banks' maturity mismatches were not as severe as those of foreign bank branches (Ree et al (2012)).…”