가격변수 불확실성과 경기변동간의 관계 = The Relationship between Uncertainty of Price Variables and Economic Fluctuations

다국어 초록 (Multilingual Abstract)

This paper explains the feedback effect between the volatility of price variables, such as inflation rate, the interest rate, and foreign exchange rate, and the domestic economic fluctuation of Korea. For example, we show that when the uncertainty of economic gross rate increases, the level of inflation increases as a result. Additionally, we adapted a new method of spillover index calculation which was originally developed by Diebold and Yilmaz (2009) to apply the volatility of price variables to Korea. The advantage of using our method is that we are able to apply low frequency macroeconomic data, in contrast with Diebold and Yilmaz' method, which is only applicable to high frequency data. From our method, we show that the volatility spillover sharply increases from 2001 to 2008, and right after the financial crisis, the volatility spillover is shown to decrease.

국문 초록 (Abstract)

본 논문에서는 물가, 금리 혹은 환율과 같은 가격변수의 변동성이 증가하였을 때 국내 경기에 어떤 영향을 주고받았는지 상호효과(feedback effect)를 분석했다. 상호효과에 대한 실증분석의 결과, 경제성장률의 불확실성이 증가할 경우 인플레이션이 높아지는 현상을 확인하였다. 또한 고빈도 자료(high frequency data)간의 확산효과(spillover)를 분석한 Diebold and Yilmaz(2009) 모형을 저빈도 자료(low frequency data)인 거시경제변수에 적용할 수 있도록 보완한 모형을 이용하여 확산효과를 분석하였다. 이를 통해 거시경제변수의 변동성을 살펴본 결과 2001년 이후 동 변수들의 변동성 확산효과가 지속적인 상승세를 보이며 2008년 하반기 국제금융위기가 표출되는 시기에 정점에 이른 후 빠른 속도로 줄어드는 것으로 파악되었다.

목차 (Table of Contents)

• Ⅰ. 서 론
• Ⅱ. 기존 연구
• Ⅲ. 분석모형
• 1. 동태적 조건부 상관관계
• 2. 이변량(bivariate) GARCH-in-Mean 모형
• 3. Diebold and Yilmaz의 확산효과지수(spillover index)
• Ⅳ. 추정결과
• 1. 분석자료 개관
• 2. 모형 추정 결과
• 3. 확산효과지수(spillover Index)의 추정
• 4. 확산효과지수 측정의 강건성(robustness) 분석
• V. 결 론
• <참고문헌>

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