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Asymmetry and Non-Linearity in the Exchange Rate Pass-Through to Korean Export Prices (in Korean)

Author

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  • Cheonggu Cho

    (School of International Economics and Business, College of Business and Economics, Yeungnam University)

Abstract

This paper tests whether asymmetry and non-linearity are present in the ERPT (exchange rate pass-through) to Korean export prices, using monthly data from February 1980 to July 2011, and analyzes how, if any, short-run and long-run ERPT elasticities vary in accordance with the direction and the size of exchange rate changes by the non-linear model which can capture such effects and what changes has occurred in Korean exporters' ERPT behavior since the 1997 financial crisis. We find that asymmetric and non-linear effects cannot be statistically rejected, although the direction of the asymmetries and the nature of the non-linearities noticeably vary across the sub-sample periods or the length of forecasting horizons.

Suggested Citation

  • Cheonggu Cho, 2012. "Asymmetry and Non-Linearity in the Exchange Rate Pass-Through to Korean Export Prices (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 18(4), pages 85-132, December.
    • Handle: RePEc:bok:journl:v:18:y:2012:i:4:p:85-132
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    More about this item

    Keywords

    Exchange Rate Pass-through; Asymmetry; Non-linearity; Pricing-to-Market. Local Projections;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
    • F14 - International Economics - - Trade - - - Empirical Studies of Trade
    • F31 - International Economics - - International Finance - - - Foreign Exchange

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