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Nonlinear models for the sources of real effective exchange rate fluctuations: Evidence from the Republic of Korea

机译：实际有效汇率波动来源的非线性模型：大韩民国的证据

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The real effective exchange rate has exhibited sizable fluctuations from 1970Q1 to 2015Q1 in the Republic of Korea. This paper quantitatively investigates the sources of the fluctuations and the impacts of heterogeneous shocks on the conditional volatility of the real effective exchange rate through estimating a structural vector autoregressive (SVAR) model and an exponential generalized autoregressive conditional heteroskedasticity (EGARCH) model. The variance decomposition and historical decomposition consistently demonstrate that about 90% of the real effective exchange rate fluctuations is attributed to demand shocks, about 9.10% of the fluctuations is due to supply shocks, while only around 0.74% of the variations is because of nominal shocks. Moreover, the historical decomposition reveals that these contributions are time-varying. In addition, the estimated EGRACH model reveals that the conditional volatility of the Korean real effective exchange rate in response to negative shocks is much larger than that in response to positive shocks. Our analysis implies that temporary capital flow regulations and discretionary monetary policies should be combined to stabilize the real effective exchange rate fluctuations in the presence of negative demand shocks. (C) 2016 Elsevier B.V. All rights reserved.
机译：从1970年1季度到2015年1季度，韩国的实际有效汇率呈现出较大的波动。本文通过估计结构矢量自回归（SVAR）模型和指数广义自回归条件异方差（EGARCH）模型，定量研究了波动的来源以及异构冲击对实际有效汇率的条件波动性的影响。方差分解和历史分解一致地表明，约90％的实际有效汇率波动是由于需求冲击造成的，约9.10％的波动是由于供应冲击造成的，而只有约0.74％的波动是由于名义冲击造成的。 。此外，历史分解表明这些贡献是随时间变化的。此外，估计的EGRACH模型表明，韩国对负冲击的实际有效汇率的条件波动性要比对正冲击的条件波动性大得多。我们的分析表明，在出现负面需求冲击的情况下，应结合临时资本流动法规和可自由支配的货币政策，以稳定实际有效的汇率波动。 （C）2016 Elsevier B.V.保留所有权利。

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