오차수정모형, 이동회귀, 분산분해를 이용한 항공화물의 수출행태분석

Export Behavior Analysis of Air Cargo Using Error-Correction Model, Rolling Regression and Variance Decomposition

Purpose - We analyze the long-run and short-run relationship between air cargo export and its determinants, foreign industrial production and nominal effective exchange rate and clarify the export behavior of air cargo. Design/Methodology/Approach - This paper employs cointegration techniue, error correction model, rolling regression and forecast error variance decomposition. The analysis is based on monthly data for the nominal effective exchange rates, sectoral export values and foreign industrial production over the period from January 2000 to October 2020. Sectoral trade statistics used in this paper are taken from the Korea International Trade Association database for 4 three digit Ministry of Trade and Investment items. Findings - We show that all the variables are non-stationary at levels but become stationary after first differencing, so it is needed to find whether the variables are cointegrated. The cointegration test ensures the presence of a long-run relationship between the variables. The error correction terms for MTI8311, MTI8138, MTI8361 and MTI8128, which are 0.055, 0.198, 0.114 and 0.107, respectively, are negative and significant. The rolling regression indicates that the influence of exchange rate and foreign income on the four air cargo export products dwindles very quickly and the variance decomposition confirms that exports are very exogenous to exchange rate and foreign income Research Implications - The finding that the export growth adjusts toward its long-run about 20% and 6% of this adjustment indicates that if the export is exposed to a shock, it will converge or diverge to long-run equilibrium at a tolerable pace. The empirical results of the variance decomposition suggests that economic variables such as exchange rate and foreign income do not exert any strong influence on air transport export.