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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2013.4
- 수록면
- 91 - 119 (29page)
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This study analyzes the effects of various macroeconomic shocks on exchange rate and trade balance in South Korea using a structural vector error correction (SVEC) model. Conventional theories such as exchange rate overshooting and J-curve effects are re-examined by allowing for the endogeneity among relevant macroeconomic variables. The study identifies the structural relationship among different macroeconomic variables by imposing the short-run and the longrun identifying restrictions based on the various macroeconomic theories.
The impulse responses analysis results conform to our expectations. An interest rate shock (or contractionary monetary policy shock) causes exchange rate (KRW/foreign) to fall (or Korean Won to appreciate) and trade balance to worsen. Money supply shocks lead to a depreciation of Korean Won and an improvement of trade balance. Price level shocks cause Korean Won to depreciate and trade balance to improve. The output shocks lead to an appreciation of Korean Won, worsening the trade balance. In addition, the exchange rate depreciation shock of Korean Won leads to an improvement in trade balance. The results show that exchange rate overshooting is found only from its own exchange rate shock. We find no evidence of Jcurve effect. Instead, we find that the exchange rate shock causes an instant and small improvement in the trade balance and the magnitude of improvement in trade balance gets bigger in the long run.
The impulse responses analysis results conform to our expectations. An interest rate shock (or contractionary monetary policy shock) causes exchange rate (KRW/foreign) to fall (or Korean Won to appreciate) and trade balance to worsen. Money supply shocks lead to a depreciation of Korean Won and an improvement of trade balance. Price level shocks cause Korean Won to depreciate and trade balance to improve. The output shocks lead to an appreciation of Korean Won, worsening the trade balance. In addition, the exchange rate depreciation shock of Korean Won leads to an improvement in trade balance. The results show that exchange rate overshooting is found only from its own exchange rate shock. We find no evidence of Jcurve effect. Instead, we find that the exchange rate shock causes an instant and small improvement in the trade balance and the magnitude of improvement in trade balance gets bigger in the long run.
목차
1. INTRODUCTION
2. LITERATURE REVIEW
3. METHODOLOGY
4. EMPIRICAL ANALYSIS
5. EMPIRICAL RESULTS
6. CONCLUSION
REFERENCES
참고문헌 (55)
참고문헌 신청
1. [학술지(정기간행물)] - Alvarez, F. / 2001 / Money, Interest Rates, And Exchange Rates With Endogenously Segmented Markets / Journal of Political Economy 110 (1) : 73 ~ 112
2. [보고서] - Backus, D. / 1996 / Affine Models of Currency Pricing
3. [학술지(정기간행물)] - Bahmani-Oskooee, M. / 1985 / Devaluation and J-Curve: Some Evidence from LDCs / Review of Economics and Statistics 67 : 500 ~ 504
4. [학술지(정기간행물)] - Bahmani-Oskooee, M. / 2004 / The J-Curve Dynamics of U.S. Bilateral Trade / Journal of Economics and Finance 28 (1) : 32 ~ 38
5. [학술지(정기간행물)] - Bahmani-Oskooee, M. / 1999 / Bilateral J-Curve between U.S. and Her Trading Partners / Weltwirtschaftliches Archiv 135 (1) : 156 ~ 165
2. [보고서] - Backus, D. / 1996 / Affine Models of Currency Pricing
3. [학술지(정기간행물)] - Bahmani-Oskooee, M. / 1985 / Devaluation and J-Curve: Some Evidence from LDCs / Review of Economics and Statistics 67 : 500 ~ 504
4. [학술지(정기간행물)] - Bahmani-Oskooee, M. / 2004 / The J-Curve Dynamics of U.S. Bilateral Trade / Journal of Economics and Finance 28 (1) : 32 ~ 38
5. [학술지(정기간행물)] - Bahmani-Oskooee, M. / 1999 / Bilateral J-Curve between U.S. and Her Trading Partners / Weltwirtschaftliches Archiv 135 (1) : 156 ~ 165
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UCI(KEPA) : I410-ECN-0101-2014-300-003565531