earticle

영어

This study analyses the impact of changes in the US base rate on the foreign exchange markets of Korea, Japan, and China using the volatility spillover index of Diebold and Yilmaz (2012). We present the empirical results as directional spillovers, net spillovers, and total spillovers using the volatility spillover index. We also present results for three sub-periods based on the change in the US interest rate. In addition, we present the results of the sample moving average analysis for robustness and the network analysis to provide an intuitive view of the net spillovers and pairwise net spillovers. Our main findings are as follows. First, we find that an increase in the U.S. base rate increases the spillover effect in the foreign exchange market, with the total spillover index being the highest at 46.2 per cent in sub-period 3. Sub-period 3 is the period when the US base rate rises again. Second, the US Dollar Index Futures(USDF) has the strongest spillovers in all periods and all types of spillovers, and the more recent the period, the stronger the spillover effect of the USDF. On the other hand, the China yuan(CNY) is passive or low in all periods and all kinds of spillovers. Third, the roles of the Korean won(WON) and the Japanese yen(JPY) change over time. The Korean won has a negative net spillover effect in sub-period 1 (pre-COVID-19), but a positive net spillover effect in sub-period 2. The opposite is true for the Japanese yen. Fourth, we confirm the importance of USDF in the moving average results and network analysis. We find that USDF and JPY play a leading role in sub-period 1, and USDF and WON in sub-periods 2 and 3.