Browse > Article

Dynamic Causality and Impulse Response between Maritime Import Volume, Relative Real Effective Exchange Rate, and Regional Industrial Activity : Focusing on a Trade Port of the Jeonnam Province  

Kim, Chang-Beom (전남대학교 지역개발연구소)
Publication Information
Journal of Korea Port Economic Association / v.33, no.1, 2017 , pp. 47-59 More about this Journal
Abstract
The objective of this study is to determine the short run and long run dynamics between maritime import volume (IMV), industrial production (IP), and real effective exchange rate (REER) of the Korean Won over the REER of certain major currencies (US Dollar, Chinese Yuan, and Japanese Yen) in Korea's Jeonnam province. The Johansen and Juselius cointegration results reveal that at least one cointegration vector or long-run relationship exists. Hence, this study estimated the long run equilibrium equation, which indicates that both IP and REER are inelastic, although the former is bigger than the latter. Moreover, the dynamic causality analysis reveals short and long-run unidirectional causality from IP and REER to IMV in all three models. Further, in all the models, the results indicate short run unidirectional causality from REER to IP. In addition, the impulse response (IR) results show that the impulse of IP and REER decayed after four months. Additionally, the IR analysis results indicate that the REER of the Korean Won over the REER of Japanese Yen is the biggest with respect to the impact of relative REER on IP, which is the proxy variable of regional real income. Thus, empirical results indicated that real income and REER play an important role in determining the Jeonnam's maritime import demand behavior in the short run and long run. More importantly, substantial actions reducing unexpected fluctuation of the REER and real income based on micro and macro economic policies will increase the imported volume in the ports of the Jeonnam province.
Keywords
Jeonnam's maritime import volume; REER; industrial production; dynamic causality; impulse-response;
Citations & Related Records
연도 인용수 순위
  • Reference
1 김창범(2010), "환위험과 경기 불확실성이 우리나라의 수입물동량에 미치는 영향", 한국항만경제학회지, 제26집 제4호, 88-100.
2 김창범(2014), "실질실효환율, 세계경기, BDI, 상품수 출이 우리나라 해상운송의 서비스수출에 미 치는 영향", 해운물류연구, 제30권 제4호, 801-823.
3 김창범(2016), "한국의 對인도네시아 수출입 물동량 의 결정요인과 한.ASEAN FTA 효과", 해운 물류연구, 제32권 제3호, 521-537.
4 모수원(2012), "광양항의 물동량 행태분석: 인천항, 평택. 당진항과 비교", 한국항만경제학회지, 제 28권 제3호, 111-125.
5 모수원(2009), "경제변수의 변동이 광양항 수입컨테이너 물동량에 미치는 효과", 한국항만경제학회지, 제25권 제3호, 269-282.
6 모수원(2013), "항만 물동량과 지역경기의 인과관계: VAR 접근", 해운물류연구, 제29권 특집호, 695-714.
7 모수원.이광배(2015), "광양항 수출입 물동량의 행태 분석", 한국기업경영학회, 제22권 제5호, 371-387.
8 최봉호(2007), "국내 주요항만별 항만물동량과 산업성장의 인과관계", 한국항만경제학회지, 제23권 제4호, 159-175.
9 Bahmani-Oskooee, M. and F. Niroomand(1998), "Long-run Elasticities and the Marshall- Lerner Condition Revisited," Economics Letters, Vol.61, 101-109.   DOI
10 Johansen, S.(1988), "Statistical Analysis of Cointegrating Vectors," Journal of Economic Dynamics and Control, Vol.12, 231-254.   DOI
11 Kwiatkowski, D., P.C,B. Phillips, P. Schmidt, and Y. Shin(1992), "Testing the Null Hypothesis of Stationarity against the Alternative of a Unit Root: How Sure are We that Economic Time Series have a Unit Root?," Journal of Econometrics, Vol.44, 169-178.
12 Mackinnon, J.G., A.A. Haug, and L. Michelis (1999), "Numerical Distribution Function of Likelihood Ratio Tests for Cointegration," Journal of Applied Economics, Vol.14, 563-577.   DOI
13 Narayan, P.K. and S. Narayan(2005), "Estimating Income and Price Elasticities of Imports for Fiji in a Cointegraion Framework," Economic Modelling, Vol.22, 423-438.   DOI
14 Sinha, D.(1997). "Determinants of Import Demand in Thailand," International Economic Journal, Winter, 73-84.
15 Sinha, D.(2001), "A Note of Elasticities in Asian Countries," The International Trade Journal, Vol.15, 221-237.   DOI
16 Tang, T.C., M. Nair(2002), "A Cointegration Analysis of Malaysian Import Demand Function: Reassessment from the Bounds Test," Applied Economics Letters, Vol.9, 269-293.