다변량 국면전환과 위기를 고려한 국제경기변동의 구조적 변화 추정 = Estimation of Structural Changes in International Economic Cycles with Multivariate Regime-switching and Crisis

다국어 초록 (Multilingual Abstract)

We examined structural changes in the international economic cycles through the real GDP using multivariate Markov regime-switching models for the six countries from the first quarter of 1971 until the first quarter of 2016.
The results of this study were as follows.
First, the MS-VAR model was possible to distinguish between two regimes for the real GDP of the six countries and more suitable to estimate structural changes than the MS-AR model or univariate linear VAR model for the international business cycles.
Second, the homoskedastic and heteroskedastic MS-VAR models showed remarkably structural changes in the economy contraction regime (recession), including the Global oil crisis in 1982(4) & 1992(1), the Asian currency crisis in 1999(4), the Global financial crisis in 2007(4) & 2008(3) and the Europe's financial crisis in 2010(3). The contemporaneous relationship between Canada and Germany had the highest correlation in the contraction regime.
Third, this study showed simultaneous structural changes that occurred between countries through the expansion regime or contraction regime. There were weak comovements in the Asian financial crisis including the end of 1997, but very significant synchronization after the Global financial crisis in the end of 2007 among the six countries.
Fourth, we found that there were spillover effects and asymmetric effects after the impacts of the residual and volatility of time series had a strong influence on its own and other real GDP growth rates in multivariate asymmetric BEKK models.
Thus, we concluded that there were significant structural changes in international economic cycles through comovements with simultaneous asymmetric shocks and country-specific shocks, which is worldwide spread in economic expansion and/or contraction regime using the MS-VAR models.

국문 초록 (Abstract)

본 연구는 다변량 마코프 국면전환모형을 이용하여 1971년 1분기부터 2016년 1분기까지 6개국의 분기별 실질 GDP를 통해 국제경기변동의 구조적 변화를 추정하였다.
첫째, 본 연구의 MS-VAR 모형은 6개국의 실질 GDP를 대상으로 2개 국면으로 구분할 수 있고 MS-AR 모형 또는 일변량 선형 VAR 모형보다 국제경기변동을 추정하는데 더 적합하였다. 둘째, 본 연구에서 동분산을 고려한 MS-VAR 모형과 더불어 이분산을 고려한 MS-VAR 모형에서 글로벌 2차 오일쇼크위기에 포함된 1982년(4)와 1992년(1), 아시아의 외환위기에 포함된 1999년(4), 글로벌 금융위기의 2007년(3)과 2008년(3), 유럽발 금융위기의 2010년(3) 등에서 시계열의 경기수축국면(불경기)이 나타나는 구조적 변화가 현저하게 발견되었다. 또한 경기확장국면에서 영국과 독일간의 상관관계는 가장 높았고, 경기수축국면에서는 캐나다와 독일간의 상관관계는 매우 높았고 다음으로 영국과 일본의 순이었다. 셋째, 본 연구의 경기확장국면 또는 경기수축국면을 통해 국가간에 발생되는 동시적인 구조적 변화를 보여주었다. 1997년 말의 아시아의 금융위기와 밀접하게 영향을 받은 한국의 경우는 5개국과의 동조화가 미약하게 나타났고 글로벌 금융위기기간인 2007년 말 이후에는 한국도 5개국과 현저하게 동조화를 나타내었다. 넷째, BEKK 모형에서 자체 및 타국가별 GDP 성장률간의 잔차와 변동성충격을 통해 살펴본 결과, 대부분 강한 조건부 변동성 전이효과 및 비대칭효과가 존재하였다.
따라서 본 연구는 국제경기변동은 각국별 고유의 충격을 포함한 대부분 전세계적으로 파급되는 동시적인 비대칭적 충격 등으로 인해 경기확장국면 또는 경기수축국면의 구조적 변화가 발생된다는 것을 확인하였다.

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