Abstract
The purpose of this paper is to empirically investigate the asymmetric impacts of exchange rate and oil price change on exports and imports in Korea using the t-distributed EGARCH(1,1) model. The sample period was from January. 2000 to December. 2015 and divided by the period of exchange rate rise and fall as well as, the period of oil price rise and fall. The main results of this study can be summarized as follows. First, during the total period, oil price has a significant positive impact on exports and imports. Second, during the period of exchange rate increase, only exchange rate has a significant negative impact on exports. Third, during the period of exchange rate fall, exchange rate has a significant negative impacts, but oil price has a significant negative impact on imports. Fourth, during the period of oil price increase, only oil price has a significant positive impact on exports. Finally, during the period of oil price fall, both exchange rate and oil price have a significant positive impact on imports. The result shows that exchange rate has a stronger influence than oil price on exports and imports. Therefore, it is necessary to maintain a stable exchange rate most particularly in the period of exchange rate increase and oil price fall.
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