한국 무역의 J곡선 효과
A J-Curve Effect: Some Evidence from Korea
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본고는 우리나라의 무역흐름에 J곡선효과가 존재하는가를 밝히는 데 연구의 목적을 둔다. 이를 위해 무역수지가 J곡선효과를 갖는가를 분석하기 위한 결합모형과 수출과 수입이 환율변동에 시차를 두고서 조정되는가를 밝히기 위한 분리모형을 도입한다. 먼저 Johansen공적분 검정을 통해 도입한 모형들이 안정적이라는 것을 확인한 후, 오차수정방정식을 도출하여 대미 수출과 대일 수출이 대미 수입과 대일 수입보다 빠르게 조정된다는 것을 보인다. 또한 일본의 조정속도가 미국보다 작아 대미 무역보다 대일 무역의 조정이 더 어렵다는 것을 밝힌다. 또한 분산분해를 통해 무역수지, 수출, 수입이 환율과 소득에 대해 내생적임을 보인 후. 충격반응함수를 실시한다. 충격반응을 이용하여 환율상승충격이 대미 수출과 대일 수출을 일정 기간동안 감소시키고 대미 수입과 대일 수입을 증가시켜 대일 무역과 대미 무역에 J곡선효과가 존재한다는 것과 대일 무역수지의 조정이 더 어렵다는 것을 밝힌다.
Abstract
The time path of the response of trade flows to a devaluation can be described in terms of the J-curve effect. The J-curve term is used to describe the movement over time of the trade balance: it may deteriorate at first and improvement may come later. This paper investigates whether a J-curve can be detected in the last twenty-four years of Korean data. I tested whether variables were cointegrated or whether there was an equilibrium relationship. The result showed that the hypothesis of no cointegrating vector could be rejected at the 5 percent level. Given the presence of a unique cointegrating vector, error-correction models can be estimated. The estimated error correction model showed that adjustment speed of imports is lower than that of exports. This paper also employs the impulse response functions to get additional information regarding the responses of the variables to the shocks in the other variable. The impulse response functions essentially map out the dynamic response path of a variable due to a one-period standard deviation shock to another variable. The results indicate that while exports respond negatively to the shock in exchange rate increase in the first place and then the responses become positive, imports respond positively to the shock in exchange rate increase in the first place and then decay slowly, showing that J-curve exists for Korea. The J-curve effect is also observed in the trade balance. Following a depreciation, Korea shows an initial short-run worsening in trade balance that is then followed by a long-run improvement. The initial depreciation in the trade balance is more than 1 percent for a one standard deviation shock in exchange rate. The deterioration lasts for about 1 quarter, after which the volume effects set in. A cyclical pattern emerges as the trade balance eventually settles to a new long run equilibrium level that is higher than the initial value.
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