달러화의 가치변동이 대일본과 대중국 수출에미친 상호영향력에 관한 연구

Title
달러화의 가치변동이 대일본과 대중국 수출에미친 상호영향력에 관한 연구
Other Titles
Mutual Influence of Export Volume in Japan and China Relative to the US Dollar Exchange Rate in Korea
Author(s)
임병진
Keywords
Export Volume; Dollar Exchange Rate; Unit Root; Vector Autoregression(VARs). Variance Decomposition
Issue Date
201504
Publisher
한국무역연구원
Citation
무역연구, v.11, no.2, pp.361 - 378
Abstract
This empirical study focuses on the mutual influence of export volume in Japan and export volume in China amidst a changing US dollar exchange rate in Korea. Specifically, this study tests the dynamic interrelationship among the export volume of Japan, export volume of China and the US dollar exchange rate using monthly data from January 31, 1988 to November 30, 2014. We employ the impulse response function based on the VAR model as well as variance decomposition after unit root and cointegration tests are performed. The important results of this study are summarized as follows: First, the correlation of export volume of Japan and export volume of China is + 0.938551, the correlation of export volume of export Japan and US dollar exchange rate is + 0.333798, and the correlation of export volume of China and the US dollar exchange rate is + 0.390185. Second, the export volume of Japan, export volume of China and the US dollar exchange rate unit root test of raw materials in the series result have unit roots. Third, the first difference of the variables namely, export volume of Japan, export volume of China and the US dollar exchange rate in the time series data have no unit roots. Fourth, there is at least one cointegration among export volume of Japan, export volume of China and the US dollar exchange rate.
URI
http://hdl.handle.net/YU.REPOSITORY/32565
ISSN
1738-8112
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경영대학 > 경영학과 > Articles
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