환율과 거시경제조정에 관한 구조VAR분석

Structural VAR Analysis of the exchange rate and macroeconomoc adjustment in Korea

In this paper, we investigate the relationship between the Korea macroeconomic adjustment and won/dollar spot exchange rate including a number of macroeconomic variables, GDP, Interest rate, net export. It uses a modified version of the structural VAR method of Blanchard and Quah. Impulse responses results of SVAR indicate that exchange rate variable explain the net export reasonably well That is means exchange rate depreciation has a positive adjustment role about net export. But the evidence does not seem to support that GDP, Interest rate are associated with net export fluctuation. Therefor exchange rate did not macroeconomic adjustment roles through the effect of positive net export.