Using a rolling‐window approach that allows time‐varying coefficients, we estimate the vector autoregressive model with the Markov chain Monte Carlo method to analyse the effectiveness of foreign exchange interventions in Korea. Our results show that a negative shock in international reserves (buying domestic currency or selling foreign currency) results in a significant appreciation of the domestic currency, a reduction in implied volatility and an increase in capital inflows. We also find that Korean exchange rate policies focus on the stabilization of the foreign exchange market rather than the depreciation of the Korean won. These patterns appear more obvious after the 2008 global financial crisis. This suggests that time variation should be taken into account to better understand the effects of foreign exchange interventions.

中文翻译：

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外汇干预的效果：以韩国为例

使用允许时变系数的滚动窗口方法，我们使用马尔可夫链蒙特卡罗方法估计向量自回归模型，以分析韩国的外汇干预措施的有效性。我们的结果表明，国际储备的负面冲击（购买本国货币或出售本国货币）导致本币大幅升值，隐含波动率降低和资本流入增加。我们还发现，韩国汇率政策的重点是稳定外汇市场，而不是韩元贬值。在2008年全球金融危机之后，这些模式更加明显。这表明应考虑时间变化，以更好地了解外汇干预的效果。