• International Area Studies Review
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• v.13 no.3
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• pp.309-330
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• 2009

This paper analyzes comparatively the effects of changes in real effective exchange rates on the business fluctuations of the cases of Korea and Japan employing structural vector auto-regression(S-VAR) model which uses quarterly data for the five variables of real effective exchange rates, GDP gap, real interest rates, oil prices, inflation rates for the period of 1980-2006. The paper employes impulse-response analysis and variance decompositions. The paper finds that real exchange rate depreciations are contractionay for the case of Korea while they are expansionary for the case of Japan. These results are consistent with the prevailing empirical results that real exchange rate depreciations are contractionary for developing countries while expansionary for advanced countries.

• The Journal of Asian Finance, Economics and Business
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• v.4 no.1
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• pp.19-23
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• 2017

Based on a simultaneous-equation model consisting of aggregate demand and short-run aggregate supply, this paper estimates a reduced-form equation specifying that the equilibrium real GDP is a function of the real effective exchange rate, the government deficit as a percent of GDP, the real interest rate, foreign income, labor productivity, the real oil price, the expected inflation rate, and the interactive and intercept binary variables accounting for a potential change in the slope of the real effective exchange rate and shift in the intercept. Applying the exponential GARCH technique, it finds that aggregate output in Australia has a positive relationship with the real effective exchange rate during 2003.Q3 - 2013.Q2, the government deficit as a percent of GDP, U.S. real GDP, labor productivity and the real oil price and a negative relationship with the real effective exchange rate during 2013.Q3 - 2016.Q1, the real lending rate and the expected inflation rate. These results suggest that real appreciation was expansionary before 2013.Q3 whereas real depreciation was expansionary after 2013.Q2 and that more government deficit as a percent of GDP would be helpful to stimulate the economy. Hence, the impact of real appreciation or real depreciation on real GDP may change overtime.

• East Asian Journal of Business Economics (EAJBE)
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• v.4 no.4
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• pp.1-7
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• 2016

This paper has studied the impacts of the exchange rate, government debt as a percent of GDP and other relevant macroeconomic variables on aggregate output in the Philippines. A simultaneous-equation model consisting of aggregate demand and short-run aggregate supply is applied. The dummy variable technique is employed to detect whether the slope and intercept of the real effective exchange rate may have changed. Real depreciation during 1998.Q1 - 2006.Q3, real appreciation during 2006.Q4 - 2016.Q1, a lower domestic debt as a percent of GDP, a lower real interest rate, a higher stock price or a higher lagged real oil price would raise aggregate output. Recent trends of real peso appreciation, declining domestic debt as a percent of GDP, lower real interest rates, and rising stock prices are in line with the empirical results and would promote economic growth. The authorities may need to continue to pursue fiscal prudence and maintain a stronger peso as the positive effect of real appreciation dominates its negative effect in recent years.

• The Journal of Asian Finance, Economics and Business
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• v.7 no.12
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• pp.123-129
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• 2020

This scholarly work is an effort to capture the effects of oil prices on the actual exchange rate between dollar and rupee. This is done with reference to the U.S. dollar as oil prices are marked in USD (U.S. Dollar) in the international market, and India is among the top five importers of oil. Using monthly data from January 2001 to May 2020. The study used the real GDP, money supply, short-term interest rate difference between two countries, and inflation apart from the crude oil prices per barrel as the factors that help define the exchange rate. The analysis, through cointegration and vector error correction method (VECM), suggests long and short-run causality amid prices of oil and the rate of exchange fluctuations. Oil prices are found to be negatively related to the exchange rate in the long term but positively related in the short term. The result of the Wald test also indicates the short-run causation from the short-term interest rate and the prices of crude oil towards the exchange rate. The present study shows that oil prices are evidence of the existence of short-term and long-term driving associations with short-term interest rates and exchange rates.

• The Journal of Asian Finance, Economics and Business
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• v.5 no.1
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• pp.5-9
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• 2018

Many developing countries have attempted to depreciate their currencies in order to make their products cheaper, stimulate exports, shift aggregate demand to the right, and increase aggregate output. However, currency depreciation tends to increase import prices, raise domestic inflation, reduce capital inflows, and shift aggregate supply to the left. The net impact is unclear. The paper incorporates the monetary policy function in the model, which is determined by the inflation gap, the output gap, the real effective exchange rate, and the world real interest rate. Applying an extended IS-MP-AS model (Romer, 2000), the paper finds that real depreciation raised real GDP during 1997.Q1-2005.Q3 whereas real appreciation increased real GDP during 2005.Q4-2017.Q2. In addition, a higher government debt-to-GDP ratio, a lower U.S. real federal funds rate, a higher real stock price, a lower real oil price or a lower expected inflation rate would help increase real GDP. Hence, real depreciation or real appreciation may increase or reduce aggregate output, depending upon the level of economic development. Although expansionary fiscal policy is effective in stimulating the economy, caution needs to be exercised as there may be a debt threshold beyond which a further increase in the debt-to-GDO ratio would hurt economic growth.

• East Asian Journal of Business Economics (EAJBE)
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• v.12 no.2
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• pp.19-28
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• 2024

Purpose: In the era of global economic integration, China's doors of openness have widened, leading to increasingly frequent economic and trade exchanges between countries. Exchange rates, as a crucial economic lever for regulating foreign markets, play a vital role in the balanced development of a nation's international trade. Therefore, the relationship between exchange rate fluctuations and foreign trade has garnered widespread attention. Research design, data and methodology: This study utilizes import and export trade data between China and five ASEAN countries from 1998 to 2019. It employs regression analysis to examine the specific impact of the real effective exchange rate of the Renminbi on China's import and export trade with these ASEAN nations. Results: The empirical analysis yields the following conclusions: Firstly, the real effective exchange rate of the Renminbi exhibits a long-term stable relationship with China's import and export trade with the five ASEAN countries. Renminbi appreciation contributes to an increase in export trade volume but is detrimental to import trade. While this conclusion may deviate from classical trade theories, it aligns with the practical realities of China's foreign trade. Secondly, the coefficients before Gross Domestic Product (GDP) all display positive values, indicating that the growth of total economic demand has a stimulating effect on China's import and export trade.

• The Journal of the Institute of Internet, Broadcasting and Communication
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• v.24 no.2
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• pp.185-190
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• 2024

In 2022, we can see the real estate market in Korea going down. Corona 19 and the Russian invasion of Ukraine are cited as the biggest causes for this. These two problems ignited the economic recession, causing prices to fall and subsequently raising exchange rates and interest rates. Due to the aforementioned problems in the previously active real estate market, the number of actual transactions has decreased, resulting in a decline in the real estate market due to high interest rates. Data provided by the public data portal, KOSIS, and the Seoul Metropolitan Government were collected through Logstash, transferred to Elasticsearch, and visualized inflation, exchange rates, and loan interest rates using the dashboard function provided by Kibana, to analyze causes and derive results. In addition, three specific apartments in Nowon-gu and Jongno-gu, which have the highest number of actual transactions in Seoul, are selected and the actual transaction prices that change every month are displayed in the Data Table.

• The Journal of the Convergence on Culture Technology
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• v.4 no.4
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• pp.155-160
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• 2018

The article studies the effect of US real effective exchange rate and short-term interest rate on Chnise exports and imports using the EGARCH-GED model. This article analyze the effect of US major economic variables on China's exports and imports as the US pushes for interest rate hikes and worsens trade wars with China. The main results are as follows. The US short-term interest rate has a significant positive effect on China's trade volume. Even in the case of China's exports, US short-term interest rate has a significant positive effect. However, in the case of China's imports, in contrast to exports, US short-term interest rate do not have a significant effects and US real effective exchange rate has a significant positive effect. On the other hand, China's policy interest rate has a negative impact on China's imports and not statistically significant, but it has a significant positive effect on China's exports.

• East Asian Economic Review
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• v.20 no.4
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• pp.493-517
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• 2016

This paper examines the persistent properties of 12 sectoral relative prices between Korea and Japan obtained following the Classification of Individual Consumption according to Purpose (COICOP) over the period of 1985-2016. Applying a new econometric method developed by Pesaran which controls for the cross-section dependence in a panel, we are not able to reject the hypothesis that the sectoral real exchange rates contain a common stochastic trend. On the other hand, the well-known panel unit root tests such as the IPS and LLC tests widely used by previous studies strongly reject the unit root hypothesis. Since the error term of the regression for our panel exhibits significant cross-section dependence, these opposite results justify that the use of the new econometric method is appropriate.

• International Area Studies Review
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• v.13 no.1
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• pp.3-16
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• 2009

This paper investigates the existence of uncovered interest rate parity between the Korea-USA as well as the Korea-Japan. We may ascertain the existence of uncovered interest rate parity by examining the empirical relationship between real exchange rates and interest rate differentials in the Korea-USA as well as in the Korea-Japan. The empirical relationship between real exchange rates and interest rate differentials in the Korean-USA and Korean-Japanese economies is investigated using cointegration tests. In the context of this study, cointegration technique is appropriate to examine the relationship between two(or more) nonstationary time series. Also, this method is useful to detect the possibility that the nonstationarity in both series can be explained by a single factor. The empirical results support the nonexistence of a long run equilibrium relation between real exchange rates and interest rate differentials. Also, the results show that the nonstationarity cannot be explained by a single factor.