THE IMPACT OF EXCHANGE-RATE UNCERTAINTY ON EXPORT GROWTH: EVIDENCE FROM KOREAN DATA

Augustine Chuck Arize

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Abstract

The statistical relationship between exports and real exchange-rate uncertainty has been examined extensively in recent years for a variety of industrial countries. However, very little, if any, work has been done on developing economies. In this paper, we investigate this relationship for the developing economy of Korea, using multivariate cointegration and error-correction techniques. The major result suggests that real exchange-rate uncertainty has a negative effect on exports in the short-run as well as the long-run. [F14, F31]

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Testing for a Unit Root in Time Series Regression 1988Statistical analysis of cointegration vectors 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1980Macroeconomics and Reality 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1

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