실질환율이 무역수지에 미치는 영향 : J-곡선 효과

Abstract

This study investigates the short-run and long-run relationships between trade balance and real exchange rate using bilateral data for Korea vis--vis three of her major trading partners on a monthly basis over the period of 1991:12 to 2012:01 for US and Japan and over the period of 1994:04 to 2012:05 for China. Based on the partial reduced form model of Rose and Yellen (1989) derived from the two-country imperfect substitute model, this study uses the bounds testing approach to cointegration. For the additional tests, this paper examines the impulse response function and variance decomposition using VAR model. Based on the ARDL bounds test, we find evidence of cointegration for US and Japan, verifying the presence of a long-run equilibrium relationship between the Korea’s bilateral trade balance and domestic income, foreign income and real exchange rate. For China, the bounds test gives an inconclusive results for the cointegration. However, a negative and significant coefficient of error correction term implies that there exists a cointegration relation among the variables in the long run. We also document that, for all three countries, the values of long-run elasticity for real exchange rate are larger than those of the other variables, indicating that a depreciation of the real exchange rate will lead to a long-run improvement in Korea’s bilateral trade balance with these countries. This result also implies that an adjustment of exchange rate by the government enables the trade balance with these countries to improve in the long run. Our findings also show that a rise in the long-run income level of Korea has a significant and negative (positive) impact on its bilateral trade balance with Japan and China (US). On the country, an increase in the income of all the trading partners leads to an improvement in Korea’s trade balance in the long. These results seem to be in favor of the general view that emphasizes the demand effect of both domestic and foreign income on the domestic (Korea) trade balance. Based on the results of short-run ECM, the evidence of a J-curve phenomenon is not found in the Korea’s bilateral trades with all three countries. Although we can find little evidence of a J-curve, a real depreciation of the won leads to an initial improvement in the Korea’s trade balance. This finding is also supported by the results of impulse response function and variance decomposition. Specially, the real exchange rate has a most important role in the change in Korea’s trade balance with US and Japan. In contrast, the effect of real exchange rate on the Korea’s trade balance with China is much smaller compared with the other two countries. In sum, due to high price elasticity of Korea’s exports and thus high responsiveness to exchange rate change, the export volume effect on the bilateral trade balance appears to dominate the price effect from the initial stage of the depreciation. Thus, there could be a positive effect on the trade balance in the short run.