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The Impact Of Exchange-Rate Uncertainty On Export Growth: Evidence From Korean Data

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Author Info
A. C. ARIZE
Abstract

The statistical relationship between exports and real exchange-rate uncertainty has been examined extensively in recent years for a variety of industrial countries. However, very little, if any, work has been done on developing economies. In this paper, we investigate this relationship for the developing economy of Korea, using multivariate cointegration and error-correction techniques. The major result suggests that real exchange-rate uncertainty has a negative effect on exports in the short-run as well as the long-run. [F14, F31]

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Article provided by Korean International Economic Association in its journal International Economic Journal.

Volume (Year): 10 (1996)
Issue (Month): 3 (October)
Pages: 49-60
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Handle: RePEc:taf:intecj:v:10:y:1996:i:3:p:49-60

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  1. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January. [Downloadable!] (restricted)
  2. Johansen, Soren & Juselius, Katarina, 1990. "Maximum Likelihood Estimation and Inference on Cointegration--With Applications to the Demand for Money," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(2), pages 169-210, May.
  3. Ashley, Richard, 1984. "A Simple Test for Regression Parameter Instability," Economic Inquiry, Oxford University Press, vol. 22(2), pages 253-68, April.
  4. Dufour, Jean-Marie, 1980. "Dummy variables and predictive tests for structural change," Economics Letters, Elsevier, vol. 6(3), pages 241-247. [Downloadable!] (restricted)
  5. Arize, Augustine C & Shwiff, Steven S, 1993. "Cointegration, Real Exchange Rate and Modelling the Demand for Broad Money in Japan," Applied Economics, Taylor and Francis Journals, vol. 25(6), pages 717-26, June.
  6. Caines, P. E. & Keng, C. W. & Sethi, S. P., 1981. "Causality analysis and multivariate Autoregressive modelling with an application to supermarket sales analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 3(1), pages 267-298, November. [Downloadable!] (restricted)
  7. Hendry, David F, 1983. "Econometric Modelling: The "Consumption Function" in Retrospect," Scottish Journal of Political Economy, Scottish Economic Society, vol. 30(3), pages 193-220, November.
  8. Thursby, Jerry G & Thursby, Marie C, 1987. "Bilateral Trade Flows, the Linder Hypothesis, and Exchange Risk," The Review of Economics and Statistics, MIT Press, vol. 69(3), pages 488-95, August. [Downloadable!] (restricted)
  9. Bailey, Martin J. & Tavlas, George S. & Ulan, Michael, 1987. "The impact of exchange-rate volatility on export growth: Some theoretical considerations and empirical results," Journal of Policy Modeling, Elsevier, vol. 9(1), pages 225-243. [Downloadable!] (restricted)
  10. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November. [Downloadable!] (restricted)
  11. Bahmani-Oskooee, Mohsen & Ltaifa, Nabil, 1992. "Effects of exchange rate risk on exports: crosscountry analysis," World Development, Elsevier, vol. 20(8), pages 1173-1181, August. [Downloadable!] (restricted)
  12. Kroner, Kenneth F. & Lastrapes, William D., 1993. "The impact of exchange rate volatility on international trade: Reduced form estimates using the GARCH-in-mean model," Journal of International Money and Finance, Elsevier, vol. 12(3), pages 298-318, June. [Downloadable!] (restricted)
  13. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254. [Downloadable!] (restricted)
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  1. Dekle, Robert & Ryoo, Heajin, 2003. "Exchange Rate Fluctuations, Financing Constraints, Hedging, and Exports: Evidence from Firm Level Data," CEI Working Paper Series 2003-13, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University. [Downloadable!]
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