• The Journal of Asian Finance, Economics and Business
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• v.9 no.1
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• pp.189-201
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• 2022

The study empirically examines the impact of monetary fundamentals along with global oil prices on the Pak-rupee exchange rate using the monthly data over 2001-2020. Employing the cointegrating vector autoregressive with exogenous variables (VARX) and vector error correction model with exogenous variables (VECMX), the study analyzes the impact of domestic monetary fundamentals while considering the foreign variables as weakly exogenous. In order to account for the structural breaks in the data, the Lagrange multiplier (LM) unit root test with two structural breaks has been used (Lee & Strazicich, 2003). The empirical results reveal that the domestic and foreign monetary variables significantly explain the exchange rate movements in Pakistan both in the long run and in the short run. The dynamic properties of the monetary model of exchange rate have been analyzed using the persistence profile analysis and generalized impulse response functions (GIRFs). The results reveal that the responses of shocks to domestic monetary fundamentals are consistent with the predictions of the monetary model of the exchange rate. Furthermore, being a net oil importer, a rise in global oil prices significantly depreciated the Pak-rupee exchange rate over the period of study. The global financial crisis (GFC) and pandemic (COVID-19) were also found to cause the Pak-rupee exchange rate depreciation.

• The Journal of Industrial Distribution & Business
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• v.9 no.6
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• pp.15-24
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• 2018

Purpose - The adjustment of one country's monetary policy can cause the macroeconomic change of other countries. Due to this, this paper attempts to analyze the impact of China's monetary policy on South Korea's exchange rate. Research design, data, and methodology - Based on the flexible-price monetary model, sets of annual time series from 1980 to 2017 are employed to perform an empirical estimation. The vector error correction model is also used to exploit the short-run relationship between both of them. Of course, the South Korea's real GDP, the China's real GDP, South Korea's interest rate, the South Korea's interest rate and the South Korea's monetary supply are treated as independent variables in this paper. Result - The long-run findings reveal that the China's money supply has a negative effect on South Korea's exchange rate. Respectively, the short-run findings depicts that the China's money supply has negative a effect on South Korea's exchange rate. Of course, other variables selected in this paper also have an effect on South Korea's exchange rate whatever positive or negative. Conclusions - As the empirical evidence shows, the China's monetary policy has a negative effect on South Korea's exchange rate whenever in the long run or in the short run.

• Asia-Pacific Journal of Business
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• v.13 no.4
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• pp.135-149
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• 2022

Purpose - The primary objective of this article is to investigate the impact of U.S. monetary policy on institutional / individual / foreign investor reactions in the Korean stock market. Design/methodology/approach - This study employs a high frequency event study methodology to identify U.S. monetary policy shocks and quantify the impact of identified shocks on investor reactions. The dependent variable in the regression model is net stock purchase, while the explanatory variables are U.S. monetary policy shocks. The model is estimated for the period 2000-2019, including 156 FOMC meetings. Findings - Foreign investors immediately sell stocks in response to contractionary U.S. monetary shocks. They do not, however, react to anticipated changes in monetary policy rates, confirming the rationality of foreign investors. Individual investors demonstrate the opposite response, indicating that a non-trivial proportion of individual investors are irrational. Research implications or Originality - This study adds to the current literature on the effect of U.S. monetary policy on the Korean stock market. This study demonstrates a heterogeneous response to U.S. monetary policy shocks, validating the rational investment behavior of foreign investors, while individual investors exhibit a certain degree of irrationality. Methodologically, this study adds to the literature by quantifying the impact of U.S. monetary policy employing a sharper identification method allowing a simple and consistent estimation.

• East Asian Economic Review
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• v.25 no.1
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• pp.73-97
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• 2021

China has experienced many structural changes in the process of economic development over the past three decades. Using a time-varying parameter VAR model with stochastic volatility and mixture innovations, this study investigates whether such structural changes in, especially tools and operational aims of monetary policy, affect the monetary transmission mechanism. We find that impulse responses of output growth and inflation to monetary shocks have substantially increased and then reversed to decrease around 2005-2006. This time variation is mainly caused by changes in the monetary transmission mechanism, i.e., the manner in which main macroeconomic variables respond to policy shocks, rather than by changes in volatilities of exogenous shocks. The result implies that aggressive monetary policy to facilitate economic growth in the developing economies may be legitimized, unless it causes inflation seriously.

• Journal of Korean Institute of Industrial Engineers
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• v.1 no.2
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• pp.65-72
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• 1975

A System of evaluation is developed which determines a uniform and individualized monetary redress. It can be applied not only to permanent disability but to temporary disability cases and considers all factors affecting monetary redress in determining process. As objects of compensation this model considers five factors, the degree of injury, the change of earning capacity, medical fee, job suspension and the degree of contributory negligence. For each object is defined a subfunction measuring its magnitude. Then by assigning reasonable weighted values to these five subfunctions according to their relative importance, we get main function which determines appropriate monetary redress.

• International Journal of Advanced Culture Technology
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• v.7 no.1
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• pp.84-88
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• 2019

This paper examines whether the exchange rate respond differently to monetary policy shocks in Korea using regression model. We find an asymmetric response of the monetary policy shocks to the monetary policy shocks in the context of Korea. Over the whole period sample, we do not find the effect of an actual interest rate on exchange rate. But we find that the estimated coefficient on the expected and unexpected change in the policy rate are negative and statistically significant. In the period of monetary policy easing, the estimated coefficient on the expected and unexpected change in the policy rate are negative but not statistically significant. In contrast, the period of monetary policy tightening, the estimated coefficient on the expected and unexpected change in the policy rate are negative and statistically significant.

• KDI Journal of Economic Policy
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• v.36 no.3
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• pp.1-23
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• 2014

This paper has studied the monetary policy in Korea with a time varying VAR model using four key macroeconomic variables. First, inclusion of the exchange rate was a crucial factor in evaluating Korean monetary policy since the monetary policy demonstrated sensitivity to exchange rate movements during the crisis periods of both the Asian financial crisis of 1997 and the global financial crisis of 2008. Second, a specification of the stochastic volatilities in TVP-VAR model is important in explaining excessive movements of all variables in the sample. The overall moderation of variables in 2000s was more or less due to a reduction of the stochastic volatilities but also somewhat due to the macroeconomic fundamental structures captured by impulse response functons. Third, the degree of the monetary policy effectiveness of inflation was mitigated in recent periods but with increased persistence. Lastly, the monetary policy stance towards inflation stabilization has advanced ever since the inflation targeting scheme was adopted. However, there still seems to be a room for improvement in this aspect since the degree of the monetary policy stance towards inflation stabilization was relatively weaker than to output stabilization.

• Fashion & Textile Research Journal
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• v.25 no.3
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• pp.280-290
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• 2023

As consumers are increasingly shopping online for fashion products, their return behavior is also increasing. Regarding the factors affecting return behavior, this study explores the effect of the purchasing orientation considering returns that are derived from bracketing purchase behavior, monetary lenient return policies, and non-monetary lenient return policies. Additionally, this study examines the effect of monetary/non-monetary lenient return policies on return behavior, mediated by the purchasing orientation considering returns. This study was conducted through an online survey and 238 data were collected and used for analysis. Two research models were designed for each independent variable of monetary lenient return policies, and non-monetary lenient return policies, and the path of the research model was analyzed using Process Macro 4.0. The study found that the sub-dimensions of return policy - monetary or non-monetary return policies - had different effects on return behavior through purchasing orientation considering returns. Monetary lenient return policies had a positive direct effect on return behavior, and purchasing orientation considering returns mediated the effect of the monetary lenient return policies on return behavior. However, the non-monetary lenient return policies only positively and significantly directly affected return behavior. The findings of this study contribute to understanding consumers' purchasing orientation considering returns. Furthermore, from the effect of the return policy on return behavior, the results are valuable as they can help fashion marketers establish a return strategy.

• The Journal of Asian Finance, Economics and Business
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• v.8 no.2
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• pp.791-800
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• 2021

Along with the trend of financial globalization, Vietnam has undergone a process of increasing financial integration. The great capital inflow poses a problem for the monetary policy's ability to follow a planned target during the changes in the global financial markets. This paper aims to examine the impact of financial integration on monetary policy independence in Vietnam and investigate the role of foreign exchange reserves on this relationship. The research borrows from Mundell-Fleming's Trilemma theory. The results show that increasing financial integration reduces the independence of monetary policy in the short term, and foreign exchange reserves have not shown an apparent role in Vietnam. In addition, increasing exchange rate stability has a negative impact on the independence of monetary policy, but it has an impact on growing market confidence and partly supporting the management process of monetary policy in the short term. Therefore, in the long run, Vietnam needs to allow exchange rate flexibility more, but there should not be sudden changes; the size of foreign exchange reserves should be strengthened to facilitate the implementation of an independent monetary policy with an obvious impact in the context of an increasing scale of international capital flows in the future.

• The Journal of Asian Finance, Economics and Business
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• v.9 no.1
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• pp.153-166
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• 2022

The study estimates the Structured VAR and the Dynamic Stochastic General Equilibrium Model for the Vietnamese economy based on the new Keynesian model for small and open economies, with the output gap, inflation, policy interest rate, the Vietnamese exchange rate, and the inflation and interest rate in the United States. The paper aims to clarify the impulse response of the macro variables through their shocks. It offers to model the SVAR and DSGE processes, as well as describe why and how interest rate policy is important in the impulse response of macro variables like the output gap and inflation process. The study supports the central role of monetary policy by giving empirical evidence for the new Keynesian theory, according to which an interest rate shock causes the output gap to widen and inflation to decrease. Finally, the application of the DSGE model is becoming more and more popular in the State Bank of Viet Nam to improve its policy planning, analyzing, and forecasting policy towards sustainable and stable growth.