비선형 환율전가모형에 관한 연구 = A Study on Nonlinear Exchange Rates Path-Through

다국어 초록 (Multilingual Abstract)

An asymmetric pattern could be rationalized if exports and imports prices are
particularly rigid downwards and quantities are rigid upwards. Nonlinear model
specifications of the exchange rate path-through are well motivated by theoretical models incorporating transaction costs such as transportation costs, tariffs and nontariff barriers, as well as any other costs that incur in international trade. The purpose of this study is to point out the features of the dynamic adjustment through which the deviation from long-run equilibrium was preserved inside the corridor. In order to take account of this potential nonlinearity, we use definitions of integration and cointegration recently conceived for this purpose. These findings illustrate a kind of threefold management of the deviation from the long-run equilibrium rate and lead to
a threshold error-correction model as the most suitable error-correction model. The empirical results of export equation using threshold error correction model are in order. First, as the error correction term has a significant coefficient, we note again an important strength of reversion in the upper regime. For the lower regime, the strength of error-correction is less substantial as the coefficient measuring the equilibriumreversion is small and insignificant. This illustrates the asymmetric response to deviations. The lower regime, associated with negative deviations, characterizes periods
of overvaluation of the value of exports with regard to its fundamental equilibrium. By contrast, in the middle regime we note a lack of equilibrium reversion, since the error correction term is practically absent from the equation. In the middle regime, the insignificance of coefficients and their small magnitude also indicate a nonimplementation of the error correction mechanism. As long as deviations from equilibrium are not greater than one of the thresholds, the error correction process is inactive and the export prices do not respond to deviations from equilibrium. Second, for the results from short-run dynamic equation using nonlinear threshold error correction model, the effects of won-dollar exchange rate path-through on exports are statistically significant only in the upper regime, but not statistically significant of for the other regimes.

다국어 초록 (Multilingual Abstract)

An asymmetric pattern could be rationalized if exports and imports prices are
particularly rigid downwards and quantities are rigid upwards. Nonlinear model
specifications of the exchange rate path-through are well motivated by theoretical models incorporating transaction costs such as transportation costs, tariffs and nontariff barriers, as well as any other costs that incur in international trade. The purpose of this study is to point out the features of the dynamic adjustment through which the deviation from long-run equilibrium was preserved inside the corridor. In order to take account of this potential nonlinearity, we use definitions of integration and cointegration recently conceived for this purpose. These findings illustrate a kind of threefold management of the deviation from the long-run equilibrium rate and lead to
a threshold error-correction model as the most suitable error-correction model. The empirical results of export equation using threshold error correction model are in order. First, as the error correction term has a significant coefficient, we note again an important strength of reversion in the upper regime. For the lower regime, the strength of error-correction is less substantial as the coefficient measuring the equilibriumreversion is small and insignificant. This illustrates the asymmetric response to deviations. The lower regime, associated with negative deviations, characterizes periods
of overvaluation of the value of exports with regard to its fundamental equilibrium. By contrast, in the middle regime we note a lack of equilibrium reversion, since the error correction term is practically absent from the equation. In the middle regime, the insignificance of coefficients and their small magnitude also indicate a nonimplementation of the error correction mechanism. As long as deviations from equilibrium are not greater than one of the thresholds, the error correction process is inactive and the export prices do not respond to deviations from equilibrium. Second, for the results from short-run dynamic equation using nonlinear threshold error correction model, the effects of won-dollar exchange rate path-through on exports are statistically significant only in the upper regime, but not statistically significant of for the other regimes.

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