뉴케인지언 모형을 이용한 한국의 경기변동추정 = A Study on the Business Cycle of the Korean Economy

국문 초록 (Abstract)

이 논문은 실물경기변동이론에서 강조되는 기술충격만이 아니라 다양한 수요충격(선호충격, 비용충격, 통화정책충격)도 경기변동의 주요 원인으로 고려하는 뉴케인지언 모형을 이용하여 우리나라의 경기 변동의 특징을 살펴보고 있다. 이것을 위해 불완전경쟁시장과 가격변수의 경직성하의 동태확률 일반균형(DSGE)을 사용하였으며 최우 추정법을 이용하여 추정되었다. 추정결과, 우리나라의 경기변동은 기술 충격도 영향을 미치지만 다른 수요충격도 매우 중요한 역할을 함을 알 수 있었다. 특히, 분산분해결과 비용충격이 다른 충격들에 비해 주요 거시경제변수의 변동에 압도적인 기여를 하는 것으로 나타났다.

다국어 초록 (Multilingual Abstract)

This paper examines the features of the business cycle of the Korean economy using the new Keynesian framework that consider various demand shocks such as preference shock, cost push shock and policy shock as the key determinants of business cycle in addition to the real business cycle technology shock. The log-linearized Dynamic Stochastic General Equilibrium(DSGE) derived as a result of the optimizing behavior of the agents in the environment of the monopolistic competitive market and the price stickiness assumptions is estimated via maximum likelihood estimation method. As the estimation results, this paper found that various demand-side economic shocks have vary important contribution in deriving the economic aggregate fluctuation of the Korean economy. In particular, the analysis of the variance decomposition showed that the cost-push shock play the dominant role in the variations of the key macroeconomic variables

목차 (Table of Contents)

• Ⅰ. 서론
• Ⅱ. 뉴케인지언 DSGE모형
• Ⅲ. 자료와 추정방법
• Ⅳ. 모형의 추정과 시사점
• Ⅴ. 결론
• 참고문헌
• Abstract

참고문헌 (Reference)

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