우리나라 경기변동의 영구성과 일시성
Permanent and Temporary Components of Business Fluctuations in Korea
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초록
본 고에서는 단일변수 비관측요인 모형과 동태적 2요소 체제전환모형을 이용하여 우리나라 경기변동의 영구성과 일시성에 대하여 고찰한다. 우리나라 산출량의 추세적 변동을 추정함에 있어서 가장 뚜렷한 특징은 외환위기 이후의 자료를 포함할 때 산출량의 추세적 변동이 심화된다는 점이다. 이는 외환위기 충격이 전 기간에 걸쳐 산출량 변동에 영향을 미쳤음을 의미하므로 체제전환모형을 사용하였다. 체제전환의 가능성을 고려할 때 외환위기 이전과 이후에 걸쳐서 추세성장률의 변동폭 및 경기변동의 영속성이 커진다.
Abstract
We investigate the permanent and temporary components of business fluctuations in Korea, using univariate unobserved component model and dynamic two-factor regime-switching model. Korea's financial crisis in 1997 changed the dynamic properties of business fluctuations in the direction of increasing the permanent component. We show that the regime changed to reduce the output in the first and second oil shock period and financial crisis period permanently.
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