한국과 일본의 수출가격 환율전가도의 비대칭성 연구 (An Analysis of Asymmetric Exchange Rate Pass-through on Export Prices in Korea and Japan)

서지정보

· 발행기관 : 한국무역연구원
· 수록지 정보 : 무역연구 / 16권 / 4호 / 185 ~ 200페이지
· 저자명 : 차혜경, 조성일

초록

Purpose The purpose of this study was to estimate the exchange rate pass-through on export prices in Korea and Japan since the 2000s in the long-run and short-run and to examine the asymmetric responses with the direction of exchange rate.
Design/Methodology/Approach This study explored the transmission of exchange rate movements into export prices at the aggregate level for Korea and Japan. It was analyzed using a conditional error-correction model.
Findings First, the main finding of our research was to provide clear support for the presence of asymmetry in the exchange rate pass-through such as appreciation and depreciation events. Second, in both Korea and Japan, the exchange rate pass-through of local currency export price was lower in the period of appreciation. This means that both Korea and Japan have chosen the strategy to reduce the increase in export prices and maintain the market share when the home currency appreciates. Lastly, long-run asymmetries were more supported than short-run asymmetric phenomenon.
Research Implications The main differentiations of this study are the empirical comparison of the export pricing strategy of Korea and Japan within the same period and methodology. In addition, this study included an estimation of the asymmetric effect in a long-run equilibrium relationship as well as presented some short-run dynamics.

영어초록

Purpose The purpose of this study was to estimate the exchange rate pass-through on export prices in Korea and Japan since the 2000s in the long-run and short-run and to examine the asymmetric responses with the direction of exchange rate.
Design/Methodology/Approach This study explored the transmission of exchange rate movements into export prices at the aggregate level for Korea and Japan. It was analyzed using a conditional error-correction model.
Findings First, the main finding of our research was to provide clear support for the presence of asymmetry in the exchange rate pass-through such as appreciation and depreciation events. Second, in both Korea and Japan, the exchange rate pass-through of local currency export price was lower in the period of appreciation. This means that both Korea and Japan have chosen the strategy to reduce the increase in export prices and maintain the market share when the home currency appreciates. Lastly, long-run asymmetries were more supported than short-run asymmetric phenomenon.
Research Implications The main differentiations of this study are the empirical comparison of the export pricing strategy of Korea and Japan within the same period and methodology. In addition, this study included an estimation of the asymmetric effect in a long-run equilibrium relationship as well as presented some short-run dynamics.

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