외환시장개입이 환율수준 및 변동성에 미치는 영향 분석

This study investigates the effects of foreign exchange (FX) market interventions on exchange rate returns and volatility in the Korean won–U.S. dollar market. Using daily data from 2020 to 2025, the analysis constructs news-based indicators for verbal and actual FX interventions to reflect policy actions recognized by market participants. Time-series regressions with Newey–West standard errors and an event study approach are employed to identify both contemporaneous and short-term dynamic effects. The analysis also considers the post-2022 period characterized by persistent high exchange rates and elevated uncertainty. The results show that both verbal and actual interventions are associated with positive exchange rate returns on the intervention day, indicating that interventions do not immediately reverse depreciation pressures. Verbal interventions exhibit negative effects with short lags, suggesting partial short-term moderation. Actual interventions display weaker and less consistent lagged responses. Regarding volatility, verbal interventions are linked to lower exchange rate volatility, while actual interventions and intervention-size proxies show limited statistical significance. These findings are more visible in the post-2022 high-exchange-rate period. Event study results indicate that exchange rate responses around intervention dates are concentrated within a short window and do not persist over time. Volatility measures show temporary changes following interventions but no sustained stabilization. Overall, the findings indicate that FX interventions are associated with short-term market responses rather than long-lasting exchange rate adjustments. The evidence suggests that interventions tend to play a role in short-term volatility management and may contribute to stabilizing market expectations, particularly in periods of high uncertainty.