환율과 유가 변화가 수출입에 미치는 비대칭적 영향

• 영문명: The Asymmetric Impacts of Exchange Rate and Oil Price Change on Exports and Imports
• 발행기관: 한국무역연구원
• 저자명: 정헌용(Heon-Yong Jung)
• 간행물 정보: 『무역연구』제12권 제6호, 317~329쪽, 전체 13쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2016.12.31

영문 초록

The purpose of this paper is to empirically investigate the asymmetric impacts of exchange rate and oil price change on exports and imports in Korea using the t-distributed EGARCH(1,1) model. The sample period was from January. 2000 to December. 2015 and divided by the period of exchange rate rise and fall as well as, the period of oil price rise and fall. The main results of this study can be summarized as follows. First, during the total period, oil price has a significant positive impact on exports and imports. Second, during the period of exchange rate increase, only exchange rate has a significant negative impact on exports. Third, during the period of exchange rate fall, exchange rate has a significant negative impacts, but oil price has a significant negative impact on imports. Fourth, during the period of oil price increase, only oil price has a significant positive impact on exports. Finally, during the period of oil price fall, both exchange rate and oil price have a significant positive impact on imports. The result shows that exchange rate has a stronger influence than oil price on exports and imports. Therefore, it is necessary to maintain a stable exchange rate most particularly in the period of exchange rate increase and oil price fall.

키워드

Exchange Rate Exports Imports Oil Price T-distributed EGARCH(1,1) Model