미국 경제의 구조적 변화 연구: 단일 오차 요인 (Single Source of Error) Beveridge-Nelson 분해를 중심으로
Uncovering Structural Change in U.S. Economy: The Analysis of Single Source of Error Beveridge-Nelson Decomposition
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
본 연구는 Kim·Nelson (1999a)과 McConnell·Perez-Quiros (2000)가 제기한 1984년 미국 경제 안정화 전·후 실질 GDP에 대한 추세 부분의 변동성 및 순환 부분의 변동성 변화를 파악하고 실질 GDP에 대한 충격의 지속성 변화를 분석하기 위하여 단일 오차 요인 Beveridge-Nelson 분해 방법을 이용한 비관측 요소 모형을 추정하였다. 추정 결과, 안정화 이후 순환 부분의 변동성은 감소한 반면 추세 부분의 변동성은 커졌고 실질 GDP에 대한 충격의 지속성은 크게 증가하였다. 충격의 지속성이 커진 것은 경제가 불황 후 평균보다 빠른 회복기를 갖게 하는 반향효과 (Bounce-back effect)가 사라짐에 따른 것으로 분석된다. 또한 컴퓨터와 인터넷의 보급으로 인해 기술 충격의 확산 속도가 빨라진 것도 지속성 증가에 기여했을 것으로 추론된다. 본 연구의 결과는 실질 GDP에 대한 충격의 지속성 증가가 경제 안정화와 더불어 미국 경제 구조 변화로 인식함을 제안하고 통화 정책의 발전이 경제 안정화와 경제 구조 변화에 기여할 수 있음을 시사한다. 그리고 본 연구의 방법론은 한국의 경기 변동을 보다 심도 있게 이해하는데 유용할 것으로 기대된다.
Abstract
Kim and Nelson (1999a) and McConnell and Perez-Quiros (2000) initially identified a marked decline in the volatility of U.S. real GDP growth since 1984. This paper investigates the structural change in trend component and cyclical component in U.S. real GDP and the change in persistence of a shock to real GDP since 1984 by using the unobserved components model along with Single Source of Error Beveridge-Nelson decomposition. We find that the variance of the trend component increases while the variance of the cyclical component decreases and the persistence of a shock to real GDP increases since the mid-80s. We interpret that the increase in the persistence might be due to the disappearance of the post-recession ‘bounce-back effect’and due to the faster diffusion process of technology shock as the result of the spread of personal computer and internet. Our result indicates that the increase in the persistence of a shock to real GDP and the decline in output volatility characterize structural change in U.S. Economy since 1984 and suggests that improved monetary policy contributes to widespread moderation of GDP growth volatility and structural change in economy. In addition, this methodology might be useful for deeper and better understanding of the Korean business cycle.
참고문헌 (33)
- Ahmed, Shaghil, "Recent U.S. Macroeconomic Stability: Good Policies, Good Practices, or Good Luck", The Review of Economics and Statistics, 86(3), pp.824~832 (2004)
- Anderson, Heather M., "Single source of error state space approach to the Beveridge Nelson decomposition", Economics Letters, 91, pp.104~109 (2006)
- Why Have Business Cycle Fluctuations Become Less Volatile, "Arias, Andres", NBER, ~, pp.12079 (2006)
- Beaudry, Paul, "Do recessions permanently change output", Journal of Monetary Economics, 31, pp.149~163 (1993)
- Beveridge, Stephen, "A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the “business cycle", Journal of Monetary Economics, 7, pp.151~174 (1981)
- Blanchard, Olivier J., "The Dynamic Effect of Aggregate Demand and Supply Disturbances", American Economic Review, 79, pp.655~673 (1989)
- Blanchard, Olivier, "The Long and Large Decline in U.S. Output Volatility", Brookings Papers on Economic Activity, 1, pp.135~163 (2001)
- Chauvet, Marcelle, "Recent Changes in the US Business Cycle", Manchester School, 69(5), pp.481~508 (2001)
- Clarida, Richard, "Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory", Quarterly Journal of Economics, 115(1), pp.147~180 (2000)
- Clark, Peter K., "The Cyclical Component of U.S. Economic Activity", The Quarterly Journal of Economics, 102(4), pp.797~814 (1987)
- Cogley, Tim, "How Fast Can the New Economy Grow? A Bayesian Analysis of the Evolution of Trend Growth", Journal of Macroeconomics, 27, pp.179~207 (2005)
- Dupasquier, Chantal, "A Survey of Alternative Methodologies for Estimating Potential Output and the Output Gap", Journal of Macroeconomics, 21(3), pp.577~595 (1999)
- Fritsche, Ulrich, "Declining output volatility in Germany: Impulse, propagation, and the role of monetary policy", Applied Economics, 37, pp.2445~2457 (2005)
- Gali, Jordi, "On the Sources of the Great Moderation, Manuscript, http:", people, pp.gali, pdf_files[DOI]
- Harvey, Andrew, "Trends and Cycles in Macroeconomic Time Series", Journal of Business and Economic Statistics, 3, pp.216~227 (1985)
- Harvey, Andrew, "Detrending, Stylized Facts and the Business Cycle", Journal of Applied Econometrics, 8(3), pp.231~247 (1993)
- Herrera, Ana M., "Oil Shocks, Systematic Monetary Policy and the Great Moderation" (2007), Michigan State University
- Kahn, James A., "Margaret M. McConnell, and Gabriel Perez-Quiros, “On the Causes of the Increased Stability of the U.S. Economy”, Federal Reserve Bank of New York", Economic Policy Review, pp.183~202 (2002)
- Kim, Chang-Jin, "The Beveridge-Nelson Decomposition and Impulse-Response Analysis in the Presence of Markov-Switching: Has the Persistence of Real GDP Changed Since the Mid 1980's”, Manuscript: http:", ~cjkim[DOI]
- Kim, Chang-Jin, "James Morely, and Jeremy Piger, Nonlinearity and the Permanent Effects of Recessions", Journal of Applied Econometrics, 20, pp.291~309 (2005)
- Kim, Chang-Jin, "Has the U.S. Economy Become More Stable? A Bayesian Approach Based on a Markov-Switching Model of the Business Cycle", The Review of Economics and Statistics, 81(4), pp.608~616 (1999)
- Kim, Chang-Jin, "State Space Models with Regime Switching" (1999), MIT Press
- Kim, Chang-Jin, "The Less-Volatile U.S. Economy: A Bayesian Investigation of Timing, Breadth, and Potential Explanations", Journal of Business and Economic Statistics, 22(1), pp.80~93 (2004)
- Lippi, Marco, "Diffusion of Technical Change and the Decomposition of Output into Trend and Cycle", Review of Economic Studies, 61, pp.19~30 (1994)
- McConnell, Margaret M., "Output Fluctuations in the United States: What Has Changed Since the Early 1980's", American Economic Review, 90(5), pp.1464~1476 (2000)
- Morley, James C., "A state-space approach to calculating the Beveridge-Nelson decomposition", Economics Letters, 75, pp.123~127 (2002)
- Morley, James C., "Why are the Beveridge-Nelson and Unobserved-Components Decompositions of GDP so Different", The Review of Economics and Statistics, 85(2), pp.235~243 (2003)
- Oh, Kum Hwa, "The Relationship between the Beveridge-Nelson Decomposition and Unobserved Components Models with Correlated Shocks", ForthcomingJournal of Econometrics (2008)
- Perron, Pierre, "Let's Take a Break: Trends and Cycles in US Real GDP” Manuscript, http:", perron[DOI]
- Sensier, Marianne, "Testing for Volatility Changes in U.S. Macroeconomic Time Series", The Review of Economics and Statistics, 86(3), pp.833~839 (2004)
- Stock, James H., "Has the Business Cycle Changed and Why", pp.159~218 (2002), NBER Macroeconomic Annual
- Stock, James H., "Understanding Changes in International Business Cycle Dynamics", Journal of European Economic Association, 3(5), pp.968~1006 (2005)
- Taylor, John, "Monetary Policy Rules", NBER Conference Report Series (1999), University of Chicago Press