선진국과 신흥국 주가변동성이 우리나라 외환시장에 미친 영향 -코로나19 전후 비교-

COVID-19 has increased macroeconomic volatility, which may have increased the spillover effects of economic fluctuations on financial markets. Therefore, we analyze the dynamic impact of external shocks (stock index volatility shocks) from developed or emerging countries on the volatility of the spot and forward foreign exchange markets using daily data from September 2015 to September 2020. We find that the volatility of both developed and emerging equity markets increased the volatility of the foreign exchange market. Since the COVID-19 outbreak, the impact of emerging stock market volatility on the Korean foreign exchange market has declined relative to that of developed stock market. However, the change is not statistically significant. Volatility in the currency swap market has expanded in response to the increase in developed equity volatility, but not in response to the increase in emerging market equity volatility. There is no difference in the impact between pre- and post-COVID-19. This can be interpreted as a differentiated result of the domestic financial market due to Korea’s reduced holdings of emerging market assets, faster policy responses than during the global financial crisis, and macro-prudential regulations implemented by Korea after the global financial crisis to cushion financial market shocks.