베이지언 DSGE 접근법에 의한 국내 잠재GDP 추정 및 전망에 관한 연구 = A Study on Estimating and Forecasting the Korea's Potential GDP using a Bayesian DSGE Approach

다국어 초록 (Multilingual Abstract)

This paper tries to estimate and forecast the Korea's potential GDP and GDP gap before and after global financial crisis that are consistent with a fully specified DSGE model based on the stylized new Keynesian features using Bayesian methods. The major findings is as follows. First, the estimated potential GDP and GDP gap can be judged as a useful welfare measure for policy makers since that these outcomes are derived from a maximizing behavior of the households and firms. Second, the estimated potential GDP and GDP gap using Bayesian methods is a feasible indicator in explaining the macroeconomic dynamics. Third, the robustness analysis shows that the hybrid type Phillips curve with a backward-looking component and the habit formation in consumption may play an important role in characterizing the macroeconomic dynamics of Korea.

국문 초록 (Abstract)

본고는 베이지언 추정방법을 통해 글로벌 금융위기 전후 전형적인 뉴 케인지언의 동태적․확률적․일반균형(DSGE, dynamic stochastic general equilibrium)에 부합되는 국내 잠재GDP 및 GDP갭의 추정 및 전망을 시도하였다. 주요 연구결과를 보면 첫째, DSGE 모형에 의해 추정된 잠재GDP 및 GDP갭은 가계 및 기업의 최적화 행위로 부터 도출되었기 때문에 정책 당국자에게는 복지 측면에서 유용한 척도로 판단된다. 둘째, 베이지언 추정방법에 기초한 잠재GDP 및 GDP갭 추정결과는 거시경제 동학을 설명하는데 수용성이 있는 지표로 나타났다. 셋째, 민감도 분석 결과 수정 필립스 곡선에서의 과거 지향적 요인 및 소비습관형성 등이 국내 거시경제의 동태적 양상을 설명하는데 중요한 역할을 수행하는 것으로 나타났다.

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