소비자물가에 대한 유가 및 환율충격의 非對稱性․非線型性 분석
Asymmetric and Nonlinear Effects of Oil Price and Exchange Rate Shocks on Consumer Price
2
조회
0
다운로드
17
인용
0
참고문헌
키워드
초록
본 연구는 Jorda(2005)가 소개한 국소투영기법(local projection)을 이용하여 소비자물가에 대한 유가 및 환율충격의 영향이 충격의 방향에 따라 비대칭적인지, 충격의 크기에 따라 비선형적인지를 분석하였다. 그리고 2008년 상반기처럼 유가충격과 환율충격이 같은 방향으로 발생한 경우와 하반기처럼 서로 다른 방향으로 발생한 경우 소비자물가에 대한 영향이 달라지는지도 살펴보았다. 분석 결과 첫째, 소비자물가에 대한 유가(환율)의 영향은 유가(환율)가 상승할 때가 하락할 때 보다 더 큰 것으로 나타났다. 둘째, 유가(환율)충격이 커질 경우 유가(환율)변화가 소비자물가에 전가되는 정도가 확대되는 것으로 분석되었다. 셋째, 유가가 상승하면 소비자물가에 대한 환율전가율이 높아지나 유가가 하락하면 환율전가율이 낮아지는 것으로 추정되었다.
Abstract
We try to examine asymmetric and nonlinear effects of oil price and exchange rate shocks on consumer price through local projection method introduced by Jorda (2005) with Korean data, and find three interesting results. First, effects of increase in oil price (exchange rate) on consumer price are bigger (in absolute value) that those of decrease in oil price (exchange rate). Second, oil price (exchange rate) pass-though into consumer price increases as oil price (exchange rate) shocks increase. Third, oil price shocks have positive effects on exchange rate pass-through into consumer price. Therefore, effects of oil price and exchange rate shocks on consumer price are asymmetric and nonlinear.
참고문헌 (26)
- 강삼모, "동아시아 주요국의 수입물가에 대한 환율전가효과", 국제경제연구, 10(1), pp.69~99 (2004), 한국국제경제학회
- 이상호, "국내물가에 대한 환율전가율 추정", 대외경제연구, 8(2), pp.195~222 (2004), 대외경제정책연구원
- 이지훈, "2008 국제유가 전망", 삼성경제연구소, ~ (2008)
- Exchange rate pass-through in emerging markets, "Ca’Zorzi, M", ECB Working Paper Series, ~, pp.739, ECB (2007)
- Exchange rate pass-through to domestic prices:does the inflationary environment matter?, "Choudhri, E", IMF, 1~194 (2001)
- Cooley, T, "Business cycle analysis without much theory:look at structural VARs", Journal of Econometrics, 83(1), pp.57~88 (1998)
- Cunado, J, "Oil prices, economic activity and inflation: evidence for some Asian countries", The Quarterly Review of Economics and Finance, 45(1), pp.65~83 (2005)
- Devereux,B., "Price-setting and exchange rate pass-through:theory and evidence", in price adjustment and monetary policy,Proceedings of a conference held by the Bank of Canada, pp.347~371 (2003)
- Gagnon, E, "Monetary policy and exchange rate pass-through", Board of Governors of the Federal Reserve System, International Finance Discussion Paper, pp.704~ (2004)
- What is an oil shock?, "Hamilton,J", NBER Working Paper, ~, pp.7755 (2000)
- Heath, R, "Inflation in Australia: measurement and modelling” in The Future of Inflation Targeting", Reserve Bank of Australia, ~ (2004)
- Exchange rate pass-through to Consumer prices: A European perspective, "Hufner, F. P", ZEW, ~, pp.Discussion Paper 02-20 (2002)
- Jorda,O, "Estimation and inference of impulse responses by local projections", The American Economic Review, 95(1), pp.161~182 (2005)
- LeBlanc, M, "Do high oil prices presage inflation?" (2004), mimeo
- Exchange rate path-through in Turkey, "Leigh D", IMF Working Paper, ~, pp.02 (2002), 204
- Mann,C, "Prices,profit margins,and exchange rates", Federal Reserve Bulletin, 72(6), pp.366~379 (1986)
- Exchange rate pass-through to US import prices: some new evidence, "Marazzi, M", Board of Governors of the Federal Reserve System, International Finance Discussion Paper, ~, pp.833 (2005)
- Mork,A, "Oil and the macroeconomy when prices go up and down: an extension of Hamilton’s results", Journal of Political Economy, 97(3), pp.740~744 (1989)
- Ohno,K, "Export pricing behavior of manufacturing:A US-Japan comparison", IMF Staff Papers, 36(3), pp.550~579 (1989)
- Pesaran, H. H, "Generalized impulse response analysis in linear multivariate models", Economics Letters, 58(1), pp.17~29 (1998)
- Size matters: asymmetric exchange rate pass-through at the industrial level, "Pollard, S", The Federal Reserve Bank, ~, pp.FRB Working Paper Series 2003- 029C (2004)
- Porter,S.M, "Nonlinear impulse response functions", Journal of Economic Dynanmics and Control, 24(10), pp.1425~1446 (2000)
- Priestley,B, "Non-Linear and Non-Stationary Time Series Analysis" (1988), Academic Press
- Taylor,J, "Low inflation,pass-through and the pricing power of firms", European Economic Review, 44(7), pp.1389~1408 (2000)
- Webber,A, "Newton’s gravity law and import prices in the Asia Pacific", Japan and the World Economy, 12(1), pp.71~87 (2000)
- Zellner, A, "Time series analysis and simultaneous equation econometric models", Journal of Econometrics, 2(1), pp.17~54 (1977)