베이지안 VAR 모형을 이용한 해외 실물 및 금융충격의 국내 파급효과 분석

• 영문명: The Spillover Effects of External Real and Financial Shocks on the Korean Economy: A Bayesian VAR Approach
• 발행기관: 한국무역연구원
• 저자명: 유재원(Jai-Won Ryou) 이기성(Ki-Seong Lee)
• 간행물 정보: 『무역연구』제16권 제2호, 153~170쪽, 전체 18쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2020.04.30

영문 초록

Purpose– This study aims to analyze the spillover effects of external real and financial shocks on the Korean economy during January 2000 and December 2019. Design/methodology/approach–Using the Bayesian VAR model, we analyze whether there were substantial changes in the effects of U.S. monetary policy and macroeconomic shocks after the global financial crisis. Findings–First, an increase in U.S. industrial production had long-term positive effects on Korea’s real and financial variables, except for Korea’s call rate. Second, the U.S. monetary policy shock measured by an increase in federal fund rate had significant negative effects on Korea’s current account balance and stock prices. Third, the Chicago Board Options Exchange (CBOE) Volatility Index (VIX) shock had a negative effect on Korea’s stock prices and the value of Korean won against the U.S. dollar. To sum it up, the spillover effects of external shocks have increased after the global financial crisis, implying that decoupling of domestic and foreign economies may be halted or reversed. Research implications or Originality– As the impact of the global financial crisis subsided and the global economy recovered, the spillover effects of external shocks on the domestic economy became also more significant. It should be noted that policy effectiveness may vary depending on interaction of internal and external economic conditions under the increasing uncertainty of the global economy.

목차

Ⅰ. 서론

Ⅱ. 선행연구의 검토

Ⅲ. 분석모형

Ⅳ. 실증분석

Ⅴ. 결론

키워드

Bayesian VAR Model Block Exogeneity External Real and Financial Shocks U.S.Monetary Policy VIX