Macroeconomic Impact of Oil Shocks: A Large-Scale Bayesian SVAR Approach in South Korea

• 발행기관: 세종대학교 경제통합연구소
• 저자명: Salima Arsalane Young Min Kim
• 간행물 정보: 『Journal of Economic Integration』제39권 제4호, 899~920쪽, 전체 22쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2024.12.01

국문 초록

This study employs a Large-Scale Bayesian Vector Autoregression (LS-BVAR) model to examine the impact of oil price shocks on South Korea's economy using monthly data spanning from January 2001 to September 2023. The analysis includes key macroeconomic variables such as industrial production, inflation, interest rates, money supply, exchange rates, imports, exports, and foreign direct investment (FDI) abroad. Our findings indicate that while oil supply shocks have limited effects on these variables, both oil aggregate demand shocks and oil-specific demand shocks significantly impact the Korean economy. The study's findings highlight the importance of leveraging global demand that could potentially boost the economic growth of the country.

목차

I. Introduction

II. Literature Review

III. Empirical Model

IV. Empirical Results

V. Conclusion

References

키워드

Oil Shocks Korean Economy Structural VAR Bayesian Estimation Shrinkage Prior