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Estimation the Natural Output Korea: A Bayesian DSGE Approach

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한국개발연구원 (Korea Development Institute)|2009.06|KDI Journal of Economic Policy|제31권 제1호|pp. 1-25|DOI 10.23895/kdijep.2009.31.1.1

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참고문헌

키워드

DSGE model베이지안 추정Bayesian estimationNatural outputNatural rate of interest자연 산출량(GDP)자연 이자율동태적 확률 일반 균형 모형
주제분류경제학

초록

This paper attempts to estimate the natural rates of output and interest of Korea in a simple DSGE set-up with a few stylized New Keynesian features using Bayesian methods. The major findings of this paper are as follows. First, the estimates of output gaps are less volatile than the measures from conventional approaches, although they exhibit non-negligible variations depending on the model specification. Another key finding is that the hybrid type Phillips curve with a backward-looking component and/or habit formation in consumption may play an important role in characterizing the macroeconomic dynamics of Korea.

Abstract

This paper attempts to estimate the natural rates of output and interest of Korea in a simple DSGE set-up with a few stylized New Keynesian features using Bayesian methods. The major findings of this paper are as follows. First, the estimates of output gaps are less volatile than the measures from conventional approaches, although they exhibit non-negligible variations depending on the model specification. Another key finding is that the hybrid type Phillips curve with a backward-looking component and/or habit formation in consumption may play an important role in characterizing the macroeconomic dynamics of Korea.

참고문헌 (37)

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