불확실성이 경제성장에 미치는 영향
The Impact of Uncertainty on Economic Growth
0
조회
0
다운로드
27
인용
0
참고문헌
키워드
초록
2011년 하반기 이후 유로지역 국가채무문제 등으로 글로벌 경제의 불확실성이 커졌다. 우리 경제도 예상에 비해 성장이 부진한 모습을 보였는데 그 근저에는 불확실성이 영향을 미치고 있을 것이란 주장들이 있다. 본고는 대내외여건의 불확실성이 금융시장에 반영되어 있다고 보고 복수의 금융변동성 및 스프레드 지표들을 결합하여 불확실성지수를 시산한 후 불확실성과 경제성장간의 관계에 대해 실증분석을 시도하였다. 또한 향후 경제전망 등에 활용할 수 있도록 시나리오 분석 등을 통하여 불확실성이 어느 정도 성장을 제약 또는 견인할 수 있는지 구체적인 수치를 도출해 보았다. 분석결과 우리나라의 경우 불확실성의 증대는 실물경제 위축으로 이어지는 경향이 강한 것으로 나타났다. 또한 불확실성은 경제성장에 시차를 두고 영향을 미치는데 지출부문별로는 불확실성이 수출, 소비, 투자 순으로 부(負)의 영향을 미치는 특징을 보였다.
Abstract
Uncertainty in the global economy has mounted since the second half of 2011 due largely to the euro area fiscal debt problems. The Korean economy exhibited sluggish growth than expected and some claim that this was influenced by the uncertainty. This paper sees uncertainty in the domestic and overseas environments as being reflected in the financial markets, and attempts to carry out an empirical analysis of the relationship between uncertainty and economic growth by calculating an uncertainty index created by combining multiple financial volatility and spread indicators. It also elicits specific figures as to the degree to which uncertainty can limit or drive growth by means of scenario analysis in a bid to use this for economic forecasting in future. The empirical analysis results show that in Korea mounting uncertainty has a strong tendency to lead to a contraction of the real economy. In addition, the influence of uncertainty on the real economy is analyzed to have become greater since the global financial crisis. Furthermore, uncertainty affects economic growth after some time lags and it is seen to have shown a negative influence on expenditure sectors ranked as follows: exports, consumption and investment.
참고문헌 (46)
- 김기호, "소비자물가에 대한 유가 및 환율충격의 非對稱性․非線型性 분석", 국제경제연구, 15(2), pp.131~152 (2009), 한국국제경제학회
- 김준태, "금융시장 불확실성이 실물부문에 미치는 영향: 금리스프레드 불확실성을 중심으로", 금융연구, 17(1), pp.26~54 (2002), 한국금융연구원
- 장민, "소득 및 자산가격 불확실성이 소비에 미치는 영향", 조사통계월보, 2(9), pp.23~50 (2004)
- 최희갑, "불확실성하에서의 소비지출에 대한 실증분석", 국제경제연구, 9(1), pp.187~206 (2003), 한국국제경제학회
- Uncertain times, uncertain measures, "Alexopoulos, Michelle", University of Toronto, ~, pp.Working Paper, 352 (2009)
- Atkeson, Andrew, "Are Phillips curves useful for forecasting inflation?", Federal Reserve Bank of Minneapolis Quarterly Review, 25(1), pp.2~11 (2001)
- Bailey, Martin J., "The impact of exchange-rate volatility on export growth: some theoretical considerations and empirical results", Journal of Policy Modeling, 9(1), pp.225~243 (1987)
- Baum, Christopher F., "Uncertainty determinants of firm investment", Economics Letters, 98(3), pp.282~287 (2008)
- Blanchard, "Perils of uncertainty: (nearly) nothing to fear but fear itself", The Economist, (31) (2009)
- Bloom, Nicholas, "The impact of uncertainty shocks", Econometrica, 77(3), pp.623~685 (2009)
- Campa, Jose, "Investment in manufacturing, exchange rates and external exposure", Journal of International Economics, 29(3-4), pp.297~320 (1995)
- Financial stress, downturns, and recoveries, "Cardarelli, Roberto", IMF, ~, pp.Working Paper, WP (2009), 09[DOI]
- What does realized volatility tell us about macroeconomic fluctuations?, "Chauvet, Marcelle.", MPRA, ~, pp.Paper, 34104 (2010)
- Driver, Ciaran., "Large company capital formation and effects of market share turbulence: micro data evidence from the PIMS database", Applied Economics, 28(6), pp.641~651 (1996)
- Episcopos, Athanasios, "Evidence on the relationship between uncertainty and irreversible investment", Quarterly Review of Economics and Finance, 35(1), pp.41~52 (1995)
- Federer, J. Peter, "Does uncertainty affect investment spending?", Journal of Post Keynesian Economics, 16(1), pp.19~35 (1993)
- Federer, J. Peter, "Uncertainty as a propagating force in the great depression", Journal of Economic History, 54(4), pp.825~849 (1994)
- Fernandez-Villaverde, Jesus., "Risk matters: The real effects of volatility shocks", The American Economic Review, 101(6), pp.2530~2561 (2011)
- Fornani, Fabio, "Financial volatility and economic activity" (2011), London School of Economics
- Gerlach, Stefan., "150 years of financial market volatility", BIS Quarterly Review, pp.77~91 (2010)
- Gilchrist, Simon, "Credit market shocks and economic fluctuatins: evidence from corporate bond and stock markets", Journal of Monetary Economics, 56(4), pp.471~493 (2009)
- Goldberg, Linda S., "Exchange rates and investment in United States industry", Review of Economic and Statistics, 75(4), pp.575~589 (1993)
- Goodhart, Charles, "Asset prices, financial conditions, and the transmission of monetary policy" (2001), Stanford University
- Greenspan, Alan, "Risk and Uncertainty in Monetary Policy", Remarks at the meetings of the American Economic Association, ~ (2004)
- Grier, Kevin B., "Uncertainty and export performance: evidence from 18 countries", Journal of Money, Credit and Banking, 39(4), pp.965~979 (2007)
- Hahm, Joon-Ho, "Consumption adjustment under time-varying income uncertainty", Review of Economics and Statistics, 81, pp.32~40 (1999)
- Hakkio, Craig S., "Financial stress : what is it, how can it be measured, and why does it matter?", Economic review, 2009(QⅡ), pp.5~50 (2009)
- Hanschel, Elke, "Measuring and forecasting stress in the banking sector: evidence from Switzerland", BIS Papers, 22, pp.431~449 (2005)
- Financial Conditions Indexes: A fresh look after the financial crisis, "Hatzius, Jan.", NBER, ~, pp.Working Paper, 16150 (2010)
- Hayek, F. A., "Law, Legislation and Liberty" (1979), University of Chicago Press
- Knight, Frank H., "Risk, Uncertainty and Profit, 1st Edition" (1921), The Riverside Press
- Jorda, Oscar, "Estimation and inference of impulse response by local projections", The American Economic Review, 95(1), pp.161~182 (2005)
- Keynes, John Maynard, "A Treatise on Probability" (1921), Macmillan
- Keynes, John Maynard, "The general theory of employment", Quarterly Journal of Economics, 51(2), pp.209~223 (1937)
- McCracken, Michael W., "Asymptotics for out of sample tests of granger causality", Journal of Econometrics, 140(2007), pp.719~752 (2006)
- Precautionary savings in the great recession, "Mody, Ashoka.", IMF, ~, pp.Working Paper, WP (2012), 12[DOI]
- Leahy, John V., "The effect of uncertainty on investment: some stylized facts", Journal of Money, Credit and Banking, 28(1), pp.64~83 (1996)
- A quantitative assessment of financial conditions in Asia, "Osorio, Carolina", IMF, ~, pp.Working Paper, WP (2011), 11[DOI]
- Pindyck, Robert, "Irreversibility, uncertainty, and investment", Journal of Economic Literature, 29(3), pp.1110~2248 (1986)
- Poon, Ser-Huang, "Forecasting volatility in financial markets: A review", Journal of Economic Literature, 41(2), pp.478~539 (2003)
- Stockhammer, Engelbert, "Financial uncertainty and business investment", Review of Political Economy, 22(4), pp.551~568 (2010)
- Stock, James H., "Macroeconomic forecasting using diffusion indexes", Journal of Business and Economic Statistics, 20(2), pp.147~162 (2002)
- Stock, James H., "Forecasting with many predictors" (2005), Princeton University
- Stock, James H., "Phillips curve inflation forecast", Prepared for the Federal ReserveBank of Boston Conference, Understanding inflation and the implications for monetary policy: A phillips curve retrospective (2008)
- A U.S. financial conditions index: putting credit where credit is due, "Swiston, Andrew", IMF, ~, pp.Working Paper, WP (2008), 08[DOI]
- Wilson, Bradley K., "The aggregate existence of precautionary saving: Time-series evidence from expenditures on nondurable and durable goods", Journal of Macroeconomics, 20(2), pp.309~323 (1996)