환율의 변동성이 국제무역에 미치는 영향: ARDL Bounds 검정 이용

초록

The paper investigates the effect of won/dollar exchange rate volatility on the trade balance with U.S. We employed ARDL-bounds test approach and found the cointegrating relationships among the variables in the trade equation. Also, depreciation of the Korean won is found to improve the trade balance. However, the impact of the exchange rate volatility on the trade balance varied depending on the proxy variables used for the exchange rate volatility. Whereas we were not able to find statistically significant impact of exchange rate volatility on the trade balance when the proxies for the exchange rate volatility used were calculated using standard deviation or AR method, we were able to find statistically significant negative impact of exchange rate volatility on trade balance when conditional standard deviation derived from estimated GARCH(1,1) model is used as a proxy.

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