유가충격과 산업생산 간 관계 분석 = The Analysis of the Relationship between Oil Price Shock and Industrial Production

다국어 초록 (Multilingual Abstract)

It has been a lot of discussions in existing literature about the issues that the oil price shock is one of the factors which induce economic fluctuation and how the oil price shock affects macro-economy. This paper examines whether there is nonlinear relationship between oil price change and the business cycle, and employes three recent econometric techniques: flexible nonlinear inference, slope-based test, and impulse response function test. As the result of empirical analysis on the Korean industrial productions, about 40%-50% over 35 industrial sectors shows nonlinear relationship between the oil price change and industrial production but the number of nonlinear relationship appears to be smaller than the case of USA. Nevertheless, as in the case of USA, there is strong evidence of asymmetries at the disaggregate level for industries that is energy-intensive in production (such as chemicals and rubber and plastics). In addition, the subsample analysis of after-Asian financial crisis shows the evidence of asymmetries in the energy-intensive in use (such motor vehicle and trailer) as in the case of the USA. This result seems to support the argument of existing literature that the effect of oil price shock on macro-economy is asymmetric and suggests that ones need to consider the asymmetric relationship between oil price change and industrial production at the disaggregate level in order to investigate the relationship between oil price change and the business cycle and to address how the oil price shock is transmitted to individual sector.