환율이 경상수지에 미치는 효과

The Effects of the Exchange Rate on the Trade Balance

Purpose - The purpose of this paper is to estimate the dynamic effects of the exchange rate shocks on the trade balance and to determine whether there is a level relationship between the exchange rate and its determinants in the Korea economy. Design/Methodology/Approach - To do that, we adopt the ARDL approach developed by Pesaran, Shin and Smith (2001). And then we estimate the impulse response functions of the trade balance due to the unexpected exchange rate based on the estimated error correction model and the traditional VAR models. It is known that the methodology of the Pesaran, Shin and Smith (2001) is applicable irrespective of whether the underying regressors are purely I(0), purely I(1), or mutually cointegrated. Findings - Our estimation results shows that after the unexpected appreciation of the real effective exchange rate, the trade balance improves instantaneously and remains positive in the relatively long run. Also, the results of this paper indicates that there is a long-run relationship between the exchange rate and the trade balance. But there is no J-curve effects in the Korea Economy. Research Implications - Since our estimation results indicate the causal relation between the variables, our results have the implications for the economic policy conducted by the government authority.