Using a novel set of instrumental variables in a structural VAR framework, we investigate the economic impact of uncertainty shocks from geopolitical swings on the Korean Peninsula over 2003–17. We construct robust instrumental variables for these shocks based on high-frequency changes in financial asset returns and their volatilities around the geopolitical events. The empirical results suggest that heightened geopolitical uncertainty has negative impacts on macroeconomic outcomes in South Korea. We provide evidence that financial and capital markets play a key role in the transmission of geopolitical uncertainty shocks.

中文翻译：

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不确定性冲击的影响：来自朝鲜半岛地缘政治波动的证据*

在结构 VAR 框架中使用一组新的工具变量，我们研究了 2003-17 年朝鲜半岛地缘政治波动带来的不确定性冲击对经济的影响。我们根据金融资产收益的高频变化及其围绕地缘政治事件的波动性为这些冲击构建了稳健的工具变量。实证结果表明，地缘政治不确定性的加剧对韩国的宏观经济结果产生了负面影响。我们提供的证据表明，金融和资本市场在地缘政治不确定性冲击的传递中发挥着关键作用。