국내외 공급 및 수요 충격이 국내거시경제에 미치는 영향 - 잠재요인모형을 사용한 경우
The Effect of Supply and Demand Shocks on Domestic Macroeconomy - Using a Latent Factor Model
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초록
본 연구에서는 자산가격과 환율 자료를 사용하여 국내외 공급과 수요 등 세 가지잠재요인을 Pavlova and Rigobon(2007)의 모형에 의해 도출한 후 이들 요인들에 대한 충격이 국내거시경제에 어떤 영향을 미치는가를 VAR 모형을 통해 살펴보았다. 분석결과 한국과 미국에서 양(+)의 공급충격은 동시에 한국과 미국의 주가를 상승시키나 미국수요대비 국내수요에 대한 양(+)의 충격은 국내주가를 상승시키는반면 미국주가를 하락시킨다. 또한 VAR 모형의 충격반응분석결과 국내외 양(+)의 공급충격은 수출과 산업생산, 그리고 BSI 등을 상승시키는 반면 상대적인 양(+)의 국내 수요충격은 이들을 하락시킨다. 한편 소비자물가나 실업률의 경우는이들 충격의 효과가 반대로 나타나나 통계적 유의성은 거의 없다.
Abstract
The paper first derives the three latent factors related to supply and demand shocks from asset prices and foreign exchange rates by using Pavlova and Rigobon’s(2007) model and then analyzes the effect of shocks to these factors on domestic macroeconomy by using a VAR model. It shows that positive supply shocks in Korea and the US raise both KOSPI and Dow Jones Index together. On the other hand, positive relative demand shocks increase KOSPI,but decrease Dow Jones Index. According to the impulse response analyses,exports, industrial production, and BSI are gone up by positive domestic and foreign supply shocks, but down by positive relative demand shocks. The impacts of these shocks on the consumer price index and the unemployment rate are in the opposite direction, but are statistically little significant.
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