The Spillovers from Exchange Rate Movement to Commodity Trade Flow : A Case Study of East Asian Region
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The present paper provides an overview of relationships between trade flow and macroeconomic variables. The previous empirical results reveal that the macroeconomic influences might be transmitted to other countries in various ways, which are more prevalent during normal times. We therefore propose spillover measures built from pieces of variance decomposition, which quantifies natural and insightful relationship between variables. Specifically, in order to contribute more directly to the debate on the recent large exchange rate movement, we provide alternative framework on trade dynamics. The focus of this paper is particularly on the evolution of trade volumes following currency appreciation and depreciations in the Korean economy. In an analysis of East Asian economy during January 2000 – September 2014, we find evidence of divergent behavior in the dynamics of spillovers. That is, the spillover does not support any direct causal attribution of single pattern but changing relationships between trade flow and macroeconomic variables. It implies that the relationship depends on economic situation and policy change.
Abstract
The present paper provides an overview of relationships between trade flow and macroeconomic variables. The previous empirical results reveal that the macroeconomic influences might be transmitted to other countries in various ways, which are more prevalent during normal times. We therefore propose spillover measures built from pieces of variance decomposition, which quantifies natural and insightful relationship between variables. Specifically, in order to contribute more directly to the debate on the recent large exchange rate movement, we provide alternative framework on trade dynamics. The focus of this paper is particularly on the evolution of trade volumes following currency appreciation and depreciations in the Korean economy. In an analysis of East Asian economy during January 2000 – September 2014, we find evidence of divergent behavior in the dynamics of spillovers. That is, the spillover does not support any direct causal attribution of single pattern but changing relationships between trade flow and macroeconomic variables. It implies that the relationship depends on economic situation and policy change.
참고문헌 (27)
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