Applying Ismailov and Rossi (2018), I newly construct the Korea FX uncertainty based on the density distribution of … historical forecast errors. This uncertainty index properly captures the rare but significant events in the Korean currency … market and provides information distinct from other uncertainty measures in recent studies. I show that 1) FX uncertainty …

This study empirically investigates the international transmission of China's uncertainty shocks. It estimates a time … heterogeneous international linkage across countries and time. Uncertainty shocks are identified via sign restrictions. The … empirical results reveal that an increase in uncertainty in China negatively affects the global economy, but those effects …