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@article{ART002447774},
author={Jo,Gab Je},
title={The Spillover of U.S. Interest Rate to Korea: Testing the Trilemma Hypothesis},
journal={Journal of Asia-Pacific Studies},
issn={1225-8539},
year={2019},
volume={26},
number={1},
pages={73-95},
doi={10.18107/japs.2019.26.1.003}

TY - JOUR
AU - Jo,Gab Je
TI - The Spillover of U.S. Interest Rate to Korea: Testing the Trilemma Hypothesis
JO - Journal of Asia-Pacific Studies
PY - 2019
VL - 26
IS - 1
PB - Institute of Global Affairs
SP - 73
EP - 95
SN - 1225-8539
AB - I analyze the efficacy of the Trilemma hypothesis, as well as the spillover effect of the U.S. long-term interest rate on Korea’s interest rate, by utilizing SVAR (structural vector autoregression) methodology and a open macro model on long-term interest rate. I find that during the whole sample period, there existed the spillover effect of the U.S. interest rate on Korea’s interest rate, which support the Trilemma hypothesis. However, I find that during the pre-crisis period, the U.S. interest rate did not have significant spillover effect on Korea’s interest rate, which does not support the Trilemma hypothesis. In addition, I find that during both the whole sample and the pre-crisis period, the expectation on business cycles was a main driver of Korea’s long-term interest rate. Overall, the results suggest that regardless of the trilemma hypothesis, the aftermath of financial crisis as well as the expectation on business cycles played important role in determining the extent of the spillover effect.
KW - Spillover Effect;Long-term Interest Rate;Exchange Rate Policy;SVAR(structural vector autoregression);Trilemma
DO - 10.18107/japs.2019.26.1.003
ER -

Jo,Gab Je. (2019). The Spillover of U.S. Interest Rate to Korea: Testing the Trilemma Hypothesis. Journal of Asia-Pacific Studies, 26(1), 73-95.

Jo,Gab Je. 2019, "The Spillover of U.S. Interest Rate to Korea: Testing the Trilemma Hypothesis", Journal of Asia-Pacific Studies, vol.26, no.1 pp.73-95. Available from: doi:10.18107/japs.2019.26.1.003

Jo,Gab Je "The Spillover of U.S. Interest Rate to Korea: Testing the Trilemma Hypothesis" Journal of Asia-Pacific Studies 26.1 pp.73-95 (2019) : 73.

Jo,Gab Je. The Spillover of U.S. Interest Rate to Korea: Testing the Trilemma Hypothesis. 2019; 26(1), 73-95. Available from: doi:10.18107/japs.2019.26.1.003

Jo,Gab Je. "The Spillover of U.S. Interest Rate to Korea: Testing the Trilemma Hypothesis" Journal of Asia-Pacific Studies 26, no.1 (2019) : 73-95.doi: 10.18107/japs.2019.26.1.003

Jo,Gab Je. The Spillover of U.S. Interest Rate to Korea: Testing the Trilemma Hypothesis. Journal of Asia-Pacific Studies, 26(1), 73-95. doi: 10.18107/japs.2019.26.1.003

Jo,Gab Je. The Spillover of U.S. Interest Rate to Korea: Testing the Trilemma Hypothesis. Journal of Asia-Pacific Studies. 2019; 26(1) 73-95. doi: 10.18107/japs.2019.26.1.003

Jo,Gab Je. The Spillover of U.S. Interest Rate to Korea: Testing the Trilemma Hypothesis. 2019; 26(1), 73-95. Available from: doi:10.18107/japs.2019.26.1.003

Jo,Gab Je. "The Spillover of U.S. Interest Rate to Korea: Testing the Trilemma Hypothesis" Journal of Asia-Pacific Studies 26, no.1 (2019) : 73-95.doi: 10.18107/japs.2019.26.1.003