동태적 요인 모형을 이용한 경기변동 동조성 분석
A Study of World and Regional Business Cycle Synchronization Using a Dynamic Factor Model
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초록
본 논문에서는 한국을 포함하여 37개 국가의 1970년부터 2018년까지의 표본을 이용하여 세계 경기변동 및 지역 내 경기변동 동조성의 동태적 특성을 동태적 요인 모형을 이용하여 분석하였다. 모형을 추정하기 위해 베이지안 마코프체인 몬테칼로 시뮬레이션을 이용하였으며, 이를 위해 깁스샘플링기법을 사용하였다. 본 연구에서는 세계경기변동요인과 지역경기변동요인을 추정하고, 각 요인들이 각국의 실질GDP변동에 어느 정도 기여하였는지를 분석하였다. 추정결과에 따르면, 추정된 글로벌 요인과 지역요인은 주요 경제사건들을 잘 설명하였다. 또한 글로벌 요인은 대부분의 국가의 GDP변동에 대한 설명력을 갖고, 특히 북미와 유럽국가의 경우 GDP변동의 주요 설명요인으로 나타났으며 아시아의 경우 평균적으로 약 10%의 설명력을 갖는 것으로 추정되었다. 지역요인은 아시아, 남미 그리고 유럽국가의 GDP변동의 주요 설명요인으로 이들 지역 내의 경기변동의 동조성 현상에 대한 실증적 근거를 확인하였다.
Abstract
The paper examines the effect of policy interest rates on housing prices using a local projection model. According to the empirical analysis using the Korea Appraisal Board’s apartment transaction price index, the policy rate cut raises the apartment price, but the increase rate is higher in Seoul than in the country and in Gangnam 4-gu than in Seoul, and has statistical significance. These results do not depend on whether control variables, error correction terms, and government regulation dummy variables are included or not. Meanwhile, when policy rate shocks are divided into positive and negative shocks to examine asymmetric effects, apartment prices rise significantly in negative shocks while do not decrease significantly in positive ones. In the case of using the Korea Appraisal Board or KB Bank’s apartment sales price index, the above results do not change much, but overall, the response to the policy rate shock is weaker than in the case of the actual transaction price index.
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