Asymmetry and Non-Linearity in the Exchange Rate Pass-Through to Korean Export Prices (in Korean)

Cheonggu Cho ()
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Cheonggu Cho: School of International Economics and Business, College of Business and Economics, Yeungnam University

Economic Analysis (Quarterly), 2012, vol. 18, issue 4, 85-132

Abstract: This paper tests whether asymmetry and non-linearity are present in the ERPT (exchange rate pass-through) to Korean export prices, using monthly data from February 1980 to July 2011, and analyzes how, if any, short-run and long-run ERPT elasticities vary in accordance with the direction and the size of exchange rate changes by the non-linear model which can capture such effects and what changes has occurred in Korean exporters' ERPT behavior since the 1997 financial crisis. We find that asymmetric and non-linear effects cannot be statistically rejected, although the direction of the asymmetries and the nature of the non-linearities noticeably vary across the sub-sample periods or the length of forecasting horizons.

Keywords: Exchange Rate Pass-through; Asymmetry; Non-linearity; Pricing-to-Market. Local Projections (search for similar items in EconPapers)
JEL-codes: C32 C51 F14 F31 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:bok:journl:v:18:y:2012:i:4:p:85-132

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