환율전가의 비대칭성과 비선형성

Abstract

The exchange rate pass-through is non-linear and asymmetric unlike the standard models. The asymmetric effects of exchange rate changes can be explained using the quantity constraint model and the market share model. To explain the non-linear effects the menu cost and switching cost in consumption were assumed. This study tests the asymmetry and non-linearity assumptions in the effects of exchange rate changes on the export prices of manufacturing goods. We estimated the export price as functions of the exchange rate with interactive dummy variables reflecting the various situations. The results suggest that especially asymmetries in exchange rate pass-through cannot be ignored. In the pre-crisis the price effect of won appreciation was greater than that of won depreciation as the quantity constraint model says, but after the crisis the result was reversed suggesting the market share model is appropriate.