In this paper, we empirically investigate the effects of monetary policy shocks on exchange rates in Asian countries. To do so, we use VAR models which impose sign restrictions on impulse responses to identify monetary policy shocks. We find that contractionary monetary policy shocks lead to significant exchange rate appreciation in Malaysia, the People’s Republic of China, and the Republic of Korea. However, in India, Indonesia, the Philippines and Thailand, we find either a significant depreciation or no significant effect. These results suggest that an interest rate increase (or decrease) may not necessarily shield Asian countries from exchange rate depreciation (or appreciation) pressure following a U.S. interest rate increase (or decrease).

在本文中，我们通过经验研究了货币政策冲击对亚洲国家汇率的影响。为此，我们使用VAR模型，该模型对冲激响应施加符号限制，以识别货币政策冲击。我们发现，紧缩性货币政策的冲击导致马来西亚，中华人民共和国和大韩民国的汇率大幅升值。但是，在印度，印度尼西亚，菲律宾和泰国，我们发现贬值幅度不大或影响不大。这些结果表明，加息（或降低）并不一定会使亚洲国家免受美国加息（或降低）后的汇率贬值（或升值）压力的影响。