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Verheuvel, N.H. (Nils)


2016-07-07


THE EFFECT OF EXCHANGE RATE VOLATILITY ON ECONOMIC GROWTH IN SOUTH KOREA


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This paper uses a three-dimensional vector autoregression model to analyze the
effect of exchange rate volatility on economic growth and international trade
for South Korea, before and after the Asian financial crisis of 1997. Exchange
rate volatility is measured as the coefficient of variation of the real
effective exchange rate. Economic growth is the quarterly growth rate of real
GDP and international trade is the quarterly growth rate of exports plus
imports. A onetime, one standard deviation shock to exchange rate volatility
leads to a 0.6 percent increase in economic growth in the long run. In the short
run however, the effect is negative. A shock to exchange rate volatility leads
to an increase in international trade by 3 percent in the five subsequent years,
although this effect is statistically insignificant. However, the effect in the
short run is a decrease in the growth rate of trade. The Asian financial crisis
of 1997 did not have an impact on the relationship between exchange rate
volatility and international trade. After the crisis, the negative short-run
effect and the positive medium-run effect of exchange rate volatility on
economic growth were smaller than in the pre-crisis period. Nevertheless, the
long-run effect remained the same.

Additional Metadata Thesis Advisor Vries, C. de Persistent URL
hdl.handle.net/2105/34006 Series Business Economics Organisation Erasmus School
of Economics Citation

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Verheuvel, N.H. (Nils). (2016, July 7). The Effect of Exchange Rate Volatility
on Economic Growth in South Korea. Business Economics. Retrieved from
http://hdl.handle.net/2105/34006

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