Applying Ismailov and Rossi (2018), I newly construct the Korea FX uncertainty based on the density distribution of historical forecast errors. This uncertainty index properly captures the rare but significant events in the Korean currency market and provides information distinct from other uncertainty measures in recent studies. I show that 1) FX uncertainty arising from unexpected depreciation has a stronger impact on Korea- U.S. exchange rates and that 2) macro variables, such as capital flows or interest rate differentials, have predictive ability regarding Korea FX uncertainty for short horizons. These findings enable us to predict the events of sudden currency crashes and understand the Korea-U.S. exchange rate dynamics.

中文翻译：

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韩国的汇率不确定性

应用Ismailov和Rossi（2018），我根据历史预测误差的密度分布重新构造了韩国外汇不确定性。该不确定性指数正确地捕捉了韩国货币市场中罕见但重要的事件，并提供了与近期研究中其他不确定性措施不同的信息。我表明1）因意外贬值而产生的外汇不确定性对韩美汇率产生了更大的影响，并且2）宏观变量（例如资本流动或利率差异）具有短期内韩国外汇不确定性的预测能力。这些发现使我们能够预测突然的货币崩盘事件，并了解韩美汇率动态。