무역 불확실성의 국면전환과 실물 교역 효과

Abstract

This study examines the regime-switching nature of trade uncertainty and its state-dependent effects on real trade flows. Using monthly data from January 2015 to May 2025, we apply a Markov-Switching Autoregressive (MS-AR) model to the World Trade Uncertainty Index (WTUI) to identify low- and high-uncertainty regimes. The results show that trade uncertainty exhibits clear regime-switching behavior, with high-uncertainty regimes characterized by higher mean levels and greater persistence, particularly during periods such as the U.S.–China trade conflict and the COVID-19 pandemic. Building on the identified regimes, this study employs the Local Projection (LP) method to analyze the dynamic effects of trade uncertainty shocks on Korea's exports and imports. The findings reveal strong regime dependence. Exports decline following uncertainty shocks in both regimes, but the negative effects accumulate more persistently under high-uncertainty conditions. Import responses differ sharply across regimes: imports contract in low-uncertainty regimes, whereas they increase cumulatively in high-uncertainty regimes, reflecting precautionary imports and supply-chain risk management. Overall, the results suggest that trade uncertainty is a structural state variable whose real trade effects critically depend on the prevailing uncertainty regime.