유가 불확실성이 국내 경제변수에 미치는 영향
The Effects of Oil Price Uncertainty on Korean Economic Variables
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초록
본 연구에서는 Kilian(2009)의 유가충격 모형을 TVC-VAR-SV 모형으로 추정하여 원유 공급, 글로벌 총 수요, 유가에 대한 불확실성을 측정한 후 이들이 국내의 경제변수에 어떤 영향을미쳤는가를 분석하였다. 분석결과, 전체기간(1990년 2월～2016년 11월)의 경우 유가 불확실성의충격은 국내외 주식수익률과 산업생산지수, 소비자물가지수를 하락시키는 반면 원/달러 환율은상승시켰다. 분석기간을 나누어 분석한 결과, 유가 불확실성의 충격이 실질유가, 미국 주식수익률, 원/달러 환율, 국내 산업생산지수에 미치는 영향은 금융위기를 지나면서 크게 증가하는 것으로나타난다. 또한 이들 변수는 유가 불확실성이 하락하는 기간보다 상승하는 기간에 더 큰 영향을받고 있었다.
Abstract
We analyze the effects of oil-supply uncertainty, global demand uncertainty, and oil price uncertainty on key economic variables in South Korea. This paper measures all of the uncertainty using a time-varying coefficient VAR model with stochastic volatility (TVC-VAR-SV) based on a structural, oil-shocks VAR model from Kilian (2009). Our main results are that a positive shock to oil price uncertainty decreases both stock returns and industrial production in the U.S. and South Korea and consumer price index in South Korea while it increases the Won/dollar exchange rate over 1990. 2 ～ 2016. 11. The oil price uncertainty shocks have more significant impacts on the real oil price, the U.S. stock returns, the Korean industrial production, and the Won/dollar exchange rate after the financial crisis in 2008. In addition, the responses of these variables are more affected by the oil price uncertainty shocks during the periods when oil price uncertainty increases than the periods when oil price uncertainty decreases.
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