환율의 불확실성과 수출

Abstract

This paper empirically investigates effects of both exchange rate and foreign income uncertainty on Korean exports using VAR and vector error correction models. Theories predict that exchange rate uncertainty can have either positive effects on exports depending on the degree of risk aversion and net effects of income and substitution effects. First, our empirical results show that asymmetry and leverage effects of the real exchange rates on their volatility are statistically significant. This suggests that 'bad' news on the real exchange rates should have a more pronounced effects on exchange rate volatility. Second, our results show that exchange rate uncertainty has negative effects on Korean exports and export growth. This result implies that the availability of forward contract, currency options, and other alternatives for risk diversification does not provide sufficient hedging to reduce the potential effects of exchange rate uncertainty on trade. However, foreign income uncertainty has no significant effect on Korean exports,suggesting that exchange rate shocks have more effects on exports than foreign income shocks in Korea. Our results suggest that Korean monetary authority can have relatively more incentive to intervene foreign exchange markets to offset the negative shocks under the floating exchange rate regime.