생산 기술 충격과 경기 변동
Technology Shocks and Business Cycles
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초록
본 연구는 구조 VAR 모형을 이용하여 생산성 충격을 식별한 후 구조 VAR 모형의 예측을 기본적인 실물 경기 변동 이론의 예측과 비교하여 경기 변동에서 생산 기술 충격의 역할을 분석하였다. 생산 기술 충격 후 노동 생산성과 노동 변수의 관계에 집중한 기존의 연구들과 달리, 본 연구에서는 실물 경기 변동 이론에서 연구되는 전형적인 경기 변동의 주요 거시 변수들과 그러한 경제 변수들의 변동성, 지속성, 동조성 등 주요 특성을 모두 분석했다. 다양한 경기 변동의 특성을 분석하기 위해 구조 VAR 모형에 일반화된 예측 오차 분산 분해를 적용하였다. 결과는 다음과 같다. 첫째, 생산성 충격은 경기 변동의 주요인이 아니다. 둘째, 생산성 충격은 전형적인 실물 경기 변동 이론에서의 모형의 예측과 비슷한 경기 변동의 특성을 만들어내지 않는다. 이러한 결과는 경기 변동에서의 생산 기술 충격의 역할과 생산 기술 충격을 경기 변동의 주요인으로 하는 실물 경기 변동 이론의 실증적 정합성에 관해 의문점을 제기한다.
Abstract
This paper examines the role of technology shocks in business cycles by comparing the predictions of the structural VAR (Vector-Auto Regression) model and the basic real business cycle model. Compared to past studies that analyzed a few business cycle properties of a few macro variables, this paper investigated typical business cycle statistics (such as volatility, persistence, and comovement of key macro variables) that are investigated in the standard real business cycle studies. In addition to consider structural VAR model that include the key macro variables, generalized forecast error variance decomposition is applied to the VAR model analyze the various properties of business cycles. The results suggest that technology shocks are not the dominant source of business cycle properties and that technology shocks do not generate business cycle properties that are similar to the predictions of the standard RBC model.
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