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The live-fire exercise held along the east coast involved the South's Hyunmoo-2 and the US Eight Army's ATACMS, Yonhap news agency quoted the Joint Chiefs of Staff (JCS) as saying.
They fired missiles into the East Sea, where the North lobbed what's believed to be an intercontinental ballistic missile (ICBM) hours earlier.
The Hyunmoo-2 is a road-mobile tactical ballistic missile with a range of 300 kilometers. The ATACMS, or the Army Tactical Missile System, is a similar-range guided missile.
The allies reaffirmed their capabilities for "precise strike on the enemy's leadership," the JCS said in a statement.
The US military unit stressed that the ATACMS can be rapidly deployed and provide "deep-strike precision capability."
It enables the allied forces to engage a full array of time-critical targets under all weather conditions.
The two sides held such joint ballistic missile drills early this month following the communist nation's firing of the Hwasong-14 ICBM.
The launch was first reported by the Japanese government which said that the missile flew for about 45 minutes and appeared to have fallen into Japan's exclusive economic zone (EEZ), Xinhua news agency reported.
According to Japan government spokesman Yoshihide Suga, no damage has reported to any vessel or aircraft.
He also said that the missile launch was in violation of the United Nations' related resolutions and Japan protests the move on strongest terms.
The South Korean media also reported the missile launch and immediately reported the move to South Korean President Moon Jae-in, who convened an emergency security meeting early Saturday.
According to South Korea's Joint Chiefs of Staff (JCS), North Korea fired the missile into its east waters.
Yonhap news agency cited JCS as saying that the missile was launched into the East Sea from North Korea's Jagang province.