The Effects of Exchange Rate Volatility on Korea’s Automotive Industry Exports:

• 발행기관: 한국무역연구원
• 저자명: Moon-Hyun Jung
• 간행물 정보: 『무역연구』제12권 제4호, 13~35쪽, 전체 23쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2016.08.30

영문 초록

This paper investigated the impact of exchange rate volatility on the automotive industry exports of Korea using a traditional long-run export demand model. In measuring the exchange rate volatility this study employed the General Autoregressive Conditional Heteroscedasticity [GARCH(1,1)] model and the standard deviation approach. To this end, the panel cointegration analysis was applied to the monthly exports of Korea’s automotive products to 28 major trading partners for the period March 2001 to December 2014. The panel dynamic ordinary least squares (DOLS) and the panel fully modified ordinary squares (FMOLS) estimations were employed to verify the long-run relationships among the regression variables. The empirical results provided evidence that exchange rate volatility has negative effects on the automotive industry exports of Korea. However, such effects were found to have relatively smaller magnitude on the automotive parts exports compared to the motor vehicle product exports. This would seem to suggest that the differential effects of volatility on the magnitude can be due to the influences of production sharing across globe, which tends to weaken the sensitivity of exchange rate uncertainty on intermediate goods trade

키워드

Automotive Industry Exports DOLS/FMOL Estimations ExportsExchange Rate VolatilityPanel Cointegration Tests