미국 경제정책 불확실성이 국내 경제변수에미치는 영향
The Impact of U.S. Economy Policy Uncertainty on Korean Economic Variables
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본 연구에서는 미국 경제정책 불확실성(Economic Policy Uncertainty, EPU)이한국의 경제에 미치는 영향에 대해 분석하였다. 분석을 위해 소규모 개방경제인국내 경제의 특성을 반영하기 위해 블록 외생성을 가정한 VAR 모형을 사용하였으며, 국내외 주가, 환율, 금리로 이루어진 금융시장과 국내외 산업생산지수, 소비자물가지수, 단기금리로 이루어진 실물시장의 두 측면으로 나누어 분석하였다. 실증분석 결과, EPU의 충격은 국내외 주가와 금리, 엔/달러 환율을 하락시키는반면 원/달러 환율을 상승시키는 것으로 나타났다. 또한 세분화된 EPU를 사용하는 경우 다른 불확실성보다 통화정책 불확실성에 대한 국내 금융시장의 반응이가장 크게 나타났다. 실물시장의 경우 EPU의 충격은 국내외 산업생산 갭과 단기금리를 하락시키며, 산업생산 갭은 3개월 후부터 천천히 회복되는 반응을 보이고있었다. 외환위기 이후의 산업생산 갭의 반응은 전체기간에 비해 더 작고 빠르게하락하며 회복하는 속도도 더 빠른 것으로 나타났다.
Abstract
This paper focuses on analyzing the influences of Economic Policy Uncertainty (EPU) in the U.S. on the Korean economy. In particular, the Korean economy is influenced by a foreign EPU through changes in the foreign economy. I reflect this using a block exogenous VAR model. In financial markets, the empirical results after the financial market fully opened since the Asian financial crisis show that a positive shock to the EPU decreases the Korean and U.S. stock prices and interest rates while increases the won/dollar exchange rate in financial markets. When using other EPUs, the EPU about “Monetary Policy” shock had the strongest impact on the Korean financial market. According to empirical results of the macroeconomic variables, an EPU shock decreases the U.S. and Korean industrial gap and short-term interest rate, however industrial gaps start recovering slowly after three months. After the financial market fully opened, responses in industrial production gaps were smaller and faster than those over the entire period and showed a faster recovery speed.
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