Exchange Rates
The KRW–USD cross-currency basis as a measure of covered interest parity deviations in dollar funding markets, together with the Exchange-Rate-at-Risk conditional distribution of won depreciation.
Won Exchange Rates
Cross-Currency Basis
Exchange-Rate-at-Risk
Carry-to-Risk Ratio
- South Korean Won to U.S. Dollar 3-Month Carry-to-Risk RatioGalati, Heath, and McGuire (2007); Aquilina et al. (2024)KRFXCTR3MWeekly
- South Korean Won to U.S. Dollar 3-Month Forward-Implied Interest Rate DifferentialKoijen et al. (2018); Aquilina et al. (2024)KRFXIRD3MWeekly
- South Korean Won to U.S. Dollar 3-Month At-the-Money Option-Implied VolatilityGarman and Kohlhagen (1983); Black (1976)KRFXIV3MWeekly
REER Fundamentals-Implied Level
- South Korea Real Effective Exchange RateBank for International Settlements (2006)KRREERQuarterly
- South Korea REER Fundamentals-Implied LevelClark and MacDonald (1998); Stock and Watson (1993)KRREERFVQuarterly
- South Korea REER Deviation from Fundamentals-Implied LevelClark and MacDonald (1998); Stock and Watson (1993)KRREERDEVQuarterly