Earticle

초록

영어

This study investigates the asymmetric effects of US–China tariff shocks on exchange-rate volatility and dynamic co-movements in East Asian foreign-exchange markets. Particular attention is given to whether major tariff-policy regime changes generate heterogeneous volatility responses across currencies and whether exchange-rate relationships differ between the Chinese renminbi (CNY), Korean won (KRW), and Japanese yen (JPY). While previous studies have largely focused on trade policy uncertainty, exchange-rate pass-through, and bilateral trade effects, relatively limited evidence exists regarding how large-scale tariff shocks influence volatility transmission and dynamic exchange-rate linkages across East Asian currencies operating under different exchange-rate regimes. The analysis employs 2,046 daily observations from January 3, 2018 to May 7, 2026, covering the first US–China trade war, the COVID-19 pandemic, the post-pandemic monetary tightening cycle, and the Trump 2.0 extreme-tariff regime. To examine volatility dynamics and exchange-rate interconnectedness, this study adopts a two-stage empirical framework combining an AR(1)-EGARCH-X(1,1)-GED model and a DCC-GARCH(1,1) model. The first stage estimates conditional exchange-rate volatility while accounting for asymmetric shock responses and fat-tailed return distributions. The second stage evaluates the effects of tariff-related events and global risk factors on volatility behavior and examines time-varying conditional correlations among currencies. In addition, the JPY–KRW correlation is employed as a benchmark reflecting global risk-aversion effects, allowing the analysis to assess whether the CNY–KRW relationship exhibits distinct characteristics beyond common regional factors. The empirical results reveal a pronounced sign-reversal pattern following the introduction of the Trump 2.0 extreme-tariff regime. Conditional volatility of the renminbi declines significantly, whereas volatility in both the Korean won and Japanese yen increases. These findings are consistent with the possibility that exchange-rate stabilization policies may have contributed to lower observed volatility within the managed renminbi regime, while higher volatility was observed in the Korean won and Japanese yen during the same period. Dynamic-correlation analysis further shows that the persistence of the CNY–KRW correlation is substantially lower than that of the JPY–KRW pair, suggesting that the CNY–KRW relationship is more sensitive to policy events and regime shifts, whereas the JPY–KRW relationship is more closely associated with persistent global risk-aversion factors. Event-study and structural-break analyses provide additional evidence consistent with asymmetric volatility adjustments across currencies following major tariff-policy changes. This study contributes to the literature in three ways. First, it provides a comprehensive examination of exchange-rate volatility dynamics across both phases of the US–China trade conflict, including the recently emerging Trump 2.0 extreme-tariff regime. Second, it integrates asymmetric volatility modeling and dynamic-correlation analysis within a unified empirical framework to jointly examine volatility behavior and exchange-rate co-movements. Third, by comparing the CNY–KRW and JPY–KRW relationships, the study documents evidence consistent with China-related spillover effects and discusses the possible role of exchange-rate management in shaping volatility patterns under heightened trade and geopolitical uncertainty. Overall, the findings suggest that major trade-policy regime shifts can alter both exchange-rate volatility and regional currency-market linkages across East Asia.

목차

Abstract
1. 서론
2. 이론적 배경 및 선행연구
3. 데이터
4. 방법론
4.1 AR(1)-EGARCH(1,1)-GED 모형
4.2 조건부 분산에 대한 HAC-OLS 회귀
4.3 DCC-GARCH(1,1) 시변 동조 모형
4.4 구조변화 검정 및 이벤트 검정
5. 실증분석 결과
5.1 EGARCH-X 추정 결과
5.2 DCC-GARCH 시변 동조
5.3 관세충격 이벤트 검정 (ΔΡΤ)
5.4. 구조변화 및 부분표본 비교 검정
6. 결론 및 시사점
참고문헌

키워드

저자

• 정대성 [ Jung, Dae-sung | 광주대학교 경영학과 ]
• 최기홍 [ Choi, Ki-hong | 국립순천대학교 경제학전공 ] Corresponding Author

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  Journal of China Studies

• 간기

  계간

• pISSN

  1975-5902

• eISSN

  3022-5590

• 수록기간

  2006~2026

• 등재여부

  KCI 등재

• 십진분류

  KDC 912 DDC 951