An Empirical Estimation of Export Function: The Case of Busan Port
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In this paper we analyse the long-run and short-run relationship between Busan port’s export and its determinants, foreign income and exchange rate, using the techniques of cointegration and error correction, the rolling regression analysis, and impulse response function. This study employs the Ordinary Least Squares method to choose the most appropriate export demand function and finds that the model with broad nominal effective exchange rate is more suitable for explaining the Busan port’s export behaviors than the models with the other effective exchange rates or nominal exchange rate. The model is estimated using monthly data for the period 2000–2020. The cointegration technique finds a favorable evidence of a long-run relationship between export demand, foreign income and exchange rate for Busan port. The error correction model indicates a quick disequilibrium adjustment and the variance decomposition analysis shows that Busan port’s exports are endogenous to economic variables. The response of exports following a positive shock to foreign income increases onwards in a consistent manner, while a positive shock to the nominal effective exchange rate has a negative impact on exports over the forecast horizon.
Abstract
In this paper we analyse the long-run and short-run relationship between Busan port’s export and its determinants, foreign income and exchange rate, using the techniques of cointegration and error correction, the rolling regression analysis, and impulse response function. This study employs the Ordinary Least Squares method to choose the most appropriate export demand function and finds that the model with broad nominal effective exchange rate is more suitable for explaining the Busan port’s export behaviors than the models with the other effective exchange rates or nominal exchange rate. The model is estimated using monthly data for the period 2000–2020. The cointegration technique finds a favorable evidence of a long-run relationship between export demand, foreign income and exchange rate for Busan port. The error correction model indicates a quick disequilibrium adjustment and the variance decomposition analysis shows that Busan port’s exports are endogenous to economic variables. The response of exports following a positive shock to foreign income increases onwards in a consistent manner, while a positive shock to the nominal effective exchange rate has a negative impact on exports over the forecast horizon.
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