해외변동성 확대가 국내경제에 미친 영향: 소득과 소비의 변동성을 중심으로 = Effect of the Increased Volatility of International Economies on the Volatility of the Income and Consumption

다국어 초록 (Multilingual Abstract)

This paper explores the effect of foreign shocks on domestic economy especially since the financial crisis in 1997. By employing a New Keynesian dynamic model calibrated to Korean data, we find the followings. First, the volatilities of the income and consumption have increased after the 1997 financial crisis, and the volatility of consumption has surpassed that of the income. Second, the increased volatility of the domestic economy after the 1997 crisis was largely attributable to the more volatile shocks from foreign economies such as a risk-premium shock and a foreign income shock. Third, the impact of foreign shocks on the domestic economy has been intensified as both the substitution elasticity between the domestic goods and imported goods and the elasticity of exports with respect to the real exchange rate have been lowered after the 1997 crisis. Finally, the price of imported goods has been more vulnerable to the movement of the exchange rate as the exchange rate pass-through has increased after the 1997 crisis. Hence, the volatility of the domestic economy has increased partly due to the movement of the exchange rate that has been more volatile than before the 1997 crisis.

참고문헌 (Reference)

1 김용복, "환율변동이 실물경제에 미치는 영향 -수출, 수입 및 투자부문을 중심으로" 한국은행 금융경제연구원 2009

2 김준태, "환율변동의 수출입가격 전가형태 분석" 한국은행 조사국 (3월호) : 2004

3 박형수, "확률적 동학 일반균형모형을 이용한 한국경제의 최적 통화정책" 한국은행 6 (6): 94-124, 2000

4 남광희, "우리나라 경기변동의 국제적 연계성, In 한국경제의 분석패널" 한국금융연구원 1997

5 박형수, "실물적 경기변동모형으로 본 우리나라의 경기변동" 한국은행 특별연구실 5 (5): 1999

6 차혜경, "수입물가의 환율전가 결정요인 분석" 한국경제학회 56 (56): 119-157, 2008

7 이중식, "경기변동 요인분석" 한국은행 금융경제연구소 2 (2): 1996

8 Kose, M. A, "Volatility and Comovement in a Globalized World Economy: An Empirical Exploration" IMF 2003

9 Clarida, "The Science of Monetary Policy: A New Keynesian Perspective" 37 (37): 1161-1707, 1999

10 Blanchard, O. J, "The Long and Large Decline in U.S. Output Volatility" 2001 (2001): 135-164, 2001

11 Soderlind, P., "Solution and Estimation of RE Macromodels with Optimal Policy" 43 (43): 813-823, 1999

12 Bernanke, Ben S., "Remarks At the meetings of the Eastern Economic Association" Washington, DC. 2004

13 Bernanke, Ben S., "Remarks At the Sandridge Lecture, Virginia Association of Economics" Richmond, Virginia. 2005

14 IMF Research Department, "Reaping the Benefits of Financial Globalization" IMF 2007

15 McCarthy, J., "Pass-through of Exchange Rates and Import Prices to Domestic Inflation in Some Industrialized Economies" Federal Reseve Bank of New York 2000

16 McConnell, M. M, "Output Fluctuations in the United States: What Has Changed Since the Early 1980's" 90 (90): 1464-1476, 1999

17 McCallum, Bennett T, "Nominal Income Targeting in an Open-Economy Optimizing Model" 43 : 553-578, 1999

18 De Paoli, Bianca, "Monetary Policy and Welfare in a Small Open Economy" 77 (77): 11-22, 2009

19 Gali, J., "Monetary Policy and Exchange Rate Volatility in a Small Open Economy" NBER 2002

20 Woodford, M., "Interest and Prices: Foundations of a Theory of Monetary Policy" Princeton University 2003

21 Fuhrer, J. C, "Inflation Persistence" 110 : 127-160, 1995

22 Kim, C-J, "Has the US Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle" 81 : 1999

23 Cooley, Thomas, "Frontiers of Business Cycle Research" Princeton University Press 1995

24 Devereux, M. B, "Exchange Rate Pass Through, Exchange Rate Volatility, and Exchange Rate Disconnect" 49 : 913-940, 2002

25 Bacchetta, P, "Does Exchange Rate Stability Increase Trade and Welfare" 90 : 1093-1109, 2001