This study investigates the impact of uncertainty shocks on macroeconomic activity in Korea. For this purpose, a Smooth Transition VAR model is employed to document the state-dependent dynamics of two distinct types of uncertainty shocks, namely, financial market based and news-based. When...

Using a novel set of instrumental variables in a structural VAR framework, we investigate the economic impact of uncertainty shocks stemming from geopolitical swings in South Korea. We construct robust instrumental variables for examining the variations in uncertainty due to geopolitical swings...