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Asymmetric Impacts of the Crude Oil Price Changes on Korea`s Export Prices
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 Title & Authors
Asymmetric Impacts of the Crude Oil Price Changes on Korea`s Export Prices
Hong, Sung-Wook; Kim, Hwa-Nyeon;
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This paper analyzes the asymmetric pass-through effects of crude oil price changes on export prices in Korea`s manufacturing sector using a nonlinear autoregressive distributed lag (NARDL) model. These pass-through effects are important for Korean companies that are highly dependent on exports. Because the effects differ by industry, eight sectors of the manufacturing industry were examined. The model is effective for separately testing the long-term and short-term differences between the export-price pass-through effects when crude oil prices increase and decrease. The estimation results show that there is positive pass-through to export prices as crude oil prices change, and there are asymmetric effects in some manufacturing sectors. Short-term asymmetries were detected in the export prices of five sectors that include general machinery and transport equipment, and significant long-term asymmetries were found for petroleum and coal products and for textile and leather products. The long-term export price of oil and coal products rose by 0.992% with a 1% increase in the oil price and fell by 0.977% with 1% decrease. Therefore, corporate strategies and government export policies should be established in accordance with these asymmetric pass-through effects.
Asymmetry;Crude Oil Prices;Export Prices;Nonlinear Autoregressive Distributed Lag Model;Pass-Through;
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