Earticle

초록

영어

A large number of empirical studies have attempted to examine an association between exchange-rate risk and international trade flows after the collapse of the Bretton Woods system in the early 1970s due to its importance in exchange-rate arrangement and trade policies. Unfortunately numerous empirical investigations not only have failed to offer conclusive evidence, but have neglected the behavior pattern of international trade flows themselves. In this paper, after setting a few preliminary elements, we first review the characterization of asymmetry and leverage effects in terms of conditional variances and news impact curve for Incheon port’s export. This paper employs the news impact curve measuring how new information is incorporated into export volatility estimates for Incheon port. We show that the news impact curve for the EGARCH model increases exponentially in both directions but with different parameters and that the EGARCH model differs from the standard GARCH model in two main respects: The EGARCH model allows good news and bad news to have a different impact on volatility, while the standard GARCH model does not, and the EGARCH model allows big news to have a greater impact on volatility than the standard GARCH model. We also show that the GJR news impact curve captures the asymmetry in the effect of news on volatility because it has a steeper slope in its negative side than on its positive side.

목차

Abstract
Ⅰ. 서론
Ⅱ. 변동성 모형의 도입
Ⅲ. 변동성 모형의 추정과 충격반응
Ⅳ. 결론
참고문헌

키워드

저자

• 박순태 [ Soon-Tae Park | 순천대학교 박사과정 ] 제1저자
• 모수원 [ Soo-Won Mo | 목포대학교 교수 ] 공동저자
• 이광배 [ Kwang-Bae Lee | 순천대학교 교수 ] 교신저자

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  무역통상학회지 [Journal of Korea Research Association of International Commerce]

• 간기

  격월간

• pISSN

  1738-4354

• 수록기간

  2001~2025

• 등재여부

  KCI 등재

• 십진분류

  KDC 326 DDC 380