환율 변동성과 수출의 관계

다국어 초록 (Multilingual Abstract)

In this paper, I investigate whether Korean exports to the U.S. are affected by won－dollar real exchange rate volatility. Exchange rate is agreed on at the time of the contract, but settlement is made at the time of the delivery. That is, the amount of profit is uncertain. If exchange rate volatility is higher, risk－averse traders reduce the volume of trade. Previous studies have been concentrated on the relationship between observed volatility and exports. But
the analysis in this study is distinguished from previous studies in that observed volatility is decomposed into permanent volatilty and transitory volatility. And this study examine the relationship between each volatility and exports. The procedure used in this paper involved the following steps. In the first step, in order to estimate observed volatility of exchange rate, EGARCH model is employed. Second, to decompose observed volatility, this study employs state space model and Kalman filtering method. Third, to test for unit root behavior of volatility series data, ADF test is used. Fourth, Granger causality test and impulse response analysis are used to examine the relationship
between won－dollar exchange rate volatility and Korean exports to the U.S.. The results of this paper concerning the relationship between exchange rate volatility and exports are as followings. First, there is no Granger causality between observed volatility of exchange rate and exports. Second, there is bidirectional relation between permanent volatility of exchange rate and exports. And the impulse response function exhibits that permanent volatility shock of exchange rate decreases Korean exports to the U.S. until early four months. Third, in the case of transitory volatility, there is no Granger causality.

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