This study investigates the impact of uncertainty shocks on macroeconomic activity in Korea. For this purpose, a Smooth Transition VAR model is employed to document the state-dependent dynamics of two distinct types of uncertainty shocks, namely, financial market based and news-based. When...

This paper investigates dynamic and causal relations between stock returns and mutual fund flows in Korea using a system method which utilizes information from the stock, bond, and money markets. For this purpose, we employ DSUR proposed by Mark, Ogaki, and Sul (2005), SURECM, and two causality...

This study empirically investigates the spillover effect of the US Fed's monetary policy on the international capital flow in South Korea. Novel high frequency data from the EPFR Global and the event study strategy allow us to identify the Fed's policy shock with minimal assumptions. In contrast...

Using the novel high frequency capital flow dataset from the EPFR Global, this study empirically investigates the spillover effects of the US Fed's monetary policy on the international capital flow in South Korea. Around the Fed's monetary policy announcement (event) week, we find that equity...