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한국경제의 실물교란과 경기변동 -구조적 VAR모형 접근-
허현승 한국응용경제학회 2006 응용경제 Vol.8 No.1
본 연구에서는 해외생산량 및 교역조건의 변화가 한국경제에 미치는 영향을 구조적 VAR모형을 이용하여 추정한다. 특히 이들 교란의 파급경로인 수출과 수입함수를 모형에 직접 포함하여 소규모개방경제의 특성을 반영하며 분석의 정확도 향상을 시도한다. 구조적 교란항은 공적분, 해외생산량의 외생성 그리고 장기제약조건을 이용하여 식별한다. 실증분석 결과 해외생산량 교란과 교역조건 교란은 수출 및 수입에 지대한 영향을 미쳤다. 또한 국내생산량 변동에도 결정적인 요인으로 단기에서의 영향력이 특히 크게 나타났으며 장기에서는 국내생산량 교란의 기여도와 동등하게 나타났다. 이러한 결과는 한국경제의 대외여건 변화에 대한 민감도를 다시 한번 입증한다. This paper examines the effects of changes in foreign output and the terms of trade on the Korean economy using a structural VAR approach. Unlike previous studies, the model includes exports and imports so that the direct linkage of foreign activity to the domestic economy is explicitly taken account. The underlying structural shocks are recovered by imposing exogeneity of foreign output and long-run identifying restrictions together with cointegration relations. Empirical analysis shows that both foreign output and terms of trade shocks are the major determinants of movements in exports and imports. These shocks also contribute significantly to the variations of domestic output. The evidence is particularly strong in the short run while their total contribution in the long run is the same level as the domestic output shock. These results attest to the importance of external shocks in the Korean economy.
UNCERTAINTY SURROUNDING THE U.S. NAIRU ESTIMATES OF ESTRELLA AND MISHKIN (1999)
허현승,CHARLES HARVIE 한국경제학회 2007 The Korean Economic Review Vol.23 No.1
Estrella and Mishkin(1999) propose a promising method to estimate the NAIRU for the U.S. However, their uncertainty measure of the NAIRU estimates is problematic, as the underlying assumption of normality is violated. We apply the block bootstrap techniques to offer a better measure of precision. One implication is that their method underestimates the true uncertainty surrounding the NAIRU estimates.
허현승 한국경제연구학회 2007 한국경제연구 Vol.18 No.-
>This paper proposes a method to estimate the NAIRU for Korea. The method shares the innovation of Estrella and Mishkin (1999) that constructs the NAIRU as a leading indicator of inflation changes over the policy horizon. However, their procedure faces methodological shortcomings, which would mar its applicability in practice. Our alternative construction resolves them and builds a more theoretically sound and practically useful measure of the NAIRU. Empirical analysis shows that the resulting NAIRU gap estimates produce more accurate out-of-sample forecasts for inflation in comparison to those by other popular measures. The new NAIRU measure can hence offer better guidance for policy makers operating in real time. We further demonstrate its usefulness as a feedback variable in Taylor-type monetary policy rules for the interest rate. 본 연구는 한국의 NAIRU지표를 추정한다. 방법론의 핵심은 Estrella and Mishkin(1999)이 제시한 바와 같이 NAIRU를 인플레이션 변동에 대한 선행지표로 정의하는 것이다. Estrella and Mishkin방법은 방정식의 모수 추정 시 최근의 데이터를 제외하는 등 몇 가지 단점이 있다. 본 연구에서는 이러한 단점을 보완하며 실용성이 향상된 NAIRU추정방법을 제시한다. 실증분석 결과도 새로운 NAIRU지표가 기존의 추정치에 비해 인플레이션 표본외 예측이 정확하다는 것을 입증한다. 본 연구는 또한 도출된 NAIRU갭이 Taylor(1993)가 제시한 유형의 통화준칙에서 피드백 변수의 역할을 보완할 수 있는지 여부를 분석한다.
Technology, Employment, and Cleansing Effects: An Empirical Study of the G-7
허현승,송원근 한국경제연구학회 2015 Korea and the World Economy Vol.16 No.1
This paper revisits the relationship between technology shocks and employment, which has caused considerable controversy since the appearance of Galí (1999). The organizing framework is cleansing effects, which posits recessions as the appropriate time for engaging in activities aimed at improving productivity. We examine the consistency of cleansing effects using G-7 data. Evidence reveals that the theoretical predictions from the cleansing effect are well supported across countries. Importantly, a positive technology shock increases employment, which is in contrast to the result of Galí. We also propose a simple test that can serve to distinguish between the cleansing and Galí models statistically. The test rejects the adequacy of Galí’s specification in favor of the cleansing effect, with the possible exception of Japan.
Testing the Uncorrelatedness of Aggregate Supply and Aggregate Demand Shocks in VAR Models
허현승 한국경제연구학회 2011 Korea and the World Economy Vol.12 No.1
In structural vector autoregression models, the underlying shocks are assumed to be uncorrelated with one another. We examine the empirical relevance of this uncorrelatedness assumption in a wellknown model by Blanchard and Quah (1989). To derive a testable form, the Blanchard and Quah model is transformed into a cointegration representation. This alternative setup is extended to allow for testing of the uncorrelatedness between aggregate supply and aggregate demand shocks. Empirical evidence reveals that the two structural shocks are not correlated in any of the six G-7 countries under study. However, when a different identification scheme is adopted, they are correlated in some cases.