earticle

영어

We employ a time-variant parameter structure vector auto-regression model with stochastic volatility. The Markov Chain Monte Carlo method estimates a TVP-VAR model with stochastic volatility. We also employ different lag periods and time points to investigate the impact of economic policy uncertainty and the stock market on Korea’s trade. First, we find that the stock markets exert a positive impact on Korea’s imports and exports. Second, we find that the global economic policy uncertainty index has a negative impact on Korea’s imports. Third, we find that global economic policy uncertainty has a negative impact on Korea’s exports in the short-term, but a positive impact persists in the medium- to long-term. These findings reveal that the global economic policy uncertainty index will have an impact on the demand-side economy for Korea’s export trade. Since Korea is one of the major exporters of high-tech and high value-added products in the world, changes in global economic policies will directly impact the demand for commodities, thereby affecting Korea’s export trade. On the contrary, the uncertainty of Korea’s economic policy will impact the operation of exporting companies, namely, the supply-side economy.