earticle

영어

This study examines the nonlinear asymmetric relationship between the real exchange rates and crude oil prices in Korea and Taiwan with threshold cointegration model. We found the evidences in both countries that the asymmetric cointegration relationship exists between crude oil prices and real exchange rates, and that the speeds of asymmetric adjustments can vary depending on the directions of adjustments in the tests of asymmetric error-correction model. The test of an asymmetric error-correction model finds rises of crude oil prices indicating short-term adjustments to eliminate negative deviations between the variables. The real exchange rates are weakly exogeneous to the crude oil prices in this model, and we also find evidences of unidirectional Granger-causality relationships from real exchange rates to crude oil prices also in both countries.