The interrelationship between exchange-rate uncertainty and unemployment for South Korea and Taiwan: Evidence from a vector autoregressive approach
AbstractThe goal of this paper is to estimate the effect between exchange-rate uncertainty and unemployment in South Korea and Taiwan. We use a vector autoregressive model to provide an efficient estimation between exchange-rate uncertainty and unemployment. We found that a long-run equilibrium relationship between exchange-rate uncertainty and unemployment exists in both Taiwan and South Korea when exchange-rate uncertainty is generated by two different measures. The exchange-rate uncertainly has a short-run impact on unemployment and vice versa, no matter which measure of uncertainty is used.
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Bibliographic InfoArticle provided by CEPII research center in its journal Economie Internationale.
Volume (Year): (2011)
Issue (Month): 125 ()
EXCHANGE-RATE UNCERTAINTY ; UNEMPLOYMENT ; GARCH;
Find related papers by JEL classification:
- J64 - Labor and Demographic Economics - - Mobility, Unemployment, and Vacancies - - - Unemployment: Models, Duration, Incidence, and Job Search
- F31 - International Economics - - International Finance - - - Foreign Exchange
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