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The interrelationship between exchange-rate uncertainty and unemployment for South Korea and Taiwan: Evidence from a vector autoregressive approach

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  • Shu-Chen Chang
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    Abstract

    The 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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    File URL: http://www.cepii.fr/IE/resumeEI.asp?NoDoc=3902
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    Bibliographic Info

    Article provided by CEPII research center in its journal Economie Internationale.

    Volume (Year): (2011)
    Issue (Month): 125 ()
    Pages: 65-82

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    Handle: RePEc:cii:cepiei:2011-q1-125-3

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    Keywords: EXCHANGE-RATE UNCERTAINTY ; UNEMPLOYMENT ; GARCH;

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