The interrelationship between exchange-rate uncertainty and unemployment for South Korea and Taiwan: Evidence from a vector autoregressive approach

Shu-Chen Chang

International Economics, 2011, issue 125, 65–82

Abstract: The goal of this paper is to estimate the effect between exchange-rate uncertainty and unemployment in South Korea and Taiwan. We use a vector autoregressive model to provide an efficient estimation between exchange-rate uncertainty and unemployment. We found that a long-run equilibrium relationship between exchange-rate uncertainty and unemployment exists in both Taiwan and South Korea when exchange-rate uncertainty is generated by two different measures. The exchange-rate uncertainly has a short-run impact on unemployment and vice versa, no matter which measure of uncertainty is used.

Keywords: EXCHANGE-RATE UNCERTAINTY; UNEMPLOYMENT; GARCH (search for similar items in EconPapers)
JEL-codes: F31 J64 (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:cii:cepiie:2011-q1-125-3

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