Recently, models based on the New Keynesian Macroeconomics (NKM), which have micro foundations, have come to be standard tools for monetary policy analysis. In this paper, we investigate the economic performances of monetary policy rules based on Gali and Monacceli (2005), which extended the NKM model into a small open economy. We characterize our paper by analyzing responses of macroeconomic variables to a specific shock; a risk premium shock occured in Uncoverd Interest rate Parity (UIP). Our results show that the domestic stabilization policy is not neccesarily an optimum, in contrast to Gali and Monacceli (2005). We also show that in some cases, rules to stabilize nominal exchange rate directly may demonstrate better performances.