earticle

영어

A large number of empirical studies have attempted to examine an association between exchange-rate risk and international trade flows after the collapse of the Bretton Woods system in the early 1970s due to its importance in exchange-rate arrangement and trade policies. Unfortunately numerous empirical investigations not only have failed to offer conclusive evidence, but have neglected the behavior pattern of international trade flows themselves. In this paper, after setting a few preliminary elements, we first review the characterization of asymmetry and leverage effects in terms of conditional variances and news impact curve for Incheon port’s export. This paper employs the news impact curve measuring how new information is incorporated into export volatility estimates for Incheon port. We show that the news impact curve for the EGARCH model increases exponentially in both directions but with different parameters and that the EGARCH model differs from the standard GARCH model in two main respects: The EGARCH model allows good news and bad news to have a different impact on volatility, while the standard GARCH model does not, and the EGARCH model allows big news to have a greater impact on volatility than the standard GARCH model. We also show that the GJR news impact curve captures the asymmetry in the effect of news on volatility because it has a steeper slope in its negative side than on its positive side.