VECM모형을 활용한 환율변동이 경상남도 수출·입에 미치는 영향

초록

Purpose - This study aims to quantitatively analyze the effects of exchange rate fluctuations on exports and imports in Gyeongsangnam-do(GN). Design/Methodology - Using monthly time-series data from January 2010 to December 2025, this study constructs a Vector Error Correction Model(VECM) with five variables: GN exports, GN imports, KRW/USD exchange rate, international oil price(Brent) and the U.S. Industrial Production Index(IPI). Based on the estimated VECM, Granger causality tests, Impulse Response Functikon(IRF) and Forecast Error Variance Docomposition(FEVD) analysis are conducted. Findings - The Granger causality test results show strong bidirectional causality between GN exports and imports in the short run. The U.S. IPI is also found to have a significant short- run effect on both variables. The IRF results indicate that exchange rate shocks do not have statistically significant effects on GN's exports and imports, whereas oil price shocks generate significant positive responses, particularly in imports. The FEVD results suggest that export and import fluctuations are mainly driven by their own shocks in the short term; however, over time, the contribution of the interdependence between exports and imports, as well as oil price shocks, gradually increases. Originality/value - The findings suggest that GN's trade policies should not only focus on export promotion but also strengthen supply chain management, including stable procurement systems for raw materials and intermediate goods. Moreover, rather than responding solely to exchange rate fluctuations, it is necessary to establish a comprehensive response framework that takes into account global economic conditions and external risks. The results of this study can provide as basic data for establishing trade support policies in GN.

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