News that USA producer prices unexpectedly fell in July earlier helped send the dollar lower.
"The uncertainty surrounding the situation has been the main driver of the markets recently".
The Chinese volatility gauge jumped by the most since January 2016 to its highest level in more than seven months.
The benchmark Korea Composite Stock Price Index lost 39.76 points, or 1.69 percent, to 2,319.71.
The dollar index, which tracks the greenback against a basket of six major rivals, was almost flat on the day at 93.646, remaining above last week's 15-month low of 92.548. That's the index's lowest level in two months.
In response to Trump's threat, a report on state-run media in North Korea said it would "turn the USA mainland into the theater of a nuclear war" if it looked like America was going to attack. Trump's comments followed reports that the North has mastered a technology needed to strike the United States with a nuclear missile.
The yen tends to benefit during times of geopolitical or financial stress as Japan is the world's biggest creditor nation and there is an assumption that Japanese investors will repatriate funds should a crisis take place. The index closed at its highest level since November 8, when Trump was elected president.
"Despite all this rhetoric, there is a general feeling that we are not going to go up to the war", said Karl Haeling, holding that this had provided little support to the market.
The euro was 0.14 percent higher against the dollar.
At 9:34 a.m. ET (1334 GMT), the Dow Jones Industrial Average was up 54.06 points, or 0.25 percent, at 21,898.07, the S&P 500 was up 5.23 points, or 0.21 percent, at 2,443.44.
But "the yen may be expected to lose its safe haven status if U.S".
For now, the dollar remained on the back foot, pulling back 0.1 percent to 0.9635 Swiss francs on Friday, after dropping as much as 1.2 percent to a two-week low overnight. Dollar/loonie was last down 0.3% and below the 1.27 mark after rising to a one-month high of 1.2752 earlier in the day.
United States producer prices Thursday disappointed, as traders await consumer price inflation figures later Friday.
The market was waiting f or US consumer inflation data on Friday that would offer more clues about future Fed decisions. Copper rose 1 cent to $2.91 a pound.
Nevsun Resources Ltd offset some of the material group's gains, plunging 16.4 per cent to C$2.75 after the company reported disappointing quarterly results.
USA crude was down 0.9 percent at $48.16 per barrel, on track for a weekly loss of 2.9 percent.
The pan-European FTSEurofirst 300 index lost 1.01 percent and MSCI's gauge of stocks across the globe shed 0.26 percent for a weekly loss of 1.6 percent, the largest since the week to November 4. Perrigo rose $1.58, or 2.1 percent, to $78.43.