2008년 글로벌 금융위기 전후의 건화물선 시장의 동태적 특징 변화에 관한 연구 -벡터자기상관 모형에 반사실적 기법을 적용하여-
A Study on the Change of the Dynamics of Dry Bulk Market before and after the 2008 Global Financial Crisis - applying the counterfactual analysis to VAR model
0
조회
0
다운로드
2
인용
0
참고문헌
키워드
초록
This paper analyses the change of the dynamics of dry bulk market before and after the 2008 global financial crisis, comparing with that of pre-July 2003. For the empirical analysis, this paper uses especially so-called ‘counterfactual analysis with VAR’ and variance decomposition. According to the results of ‘counterfactual analysis with VAR’, the main factor for the volatility reduction in three dry bulk freight markets is the reduction of the shock size itself but the main factor for the volatility increase in other 9 markets is the increase of the shock persistence (or shock propagation mechanism) except one case. However, according to the results of variance decomposition, before July 2003 (so-called China Effect), there was higher idiosyncrasy in the volatility of every market than after July 2003.
Abstract
This paper analyses the change of the dynamics of dry bulk market before and after the 2008 global financial crisis, comparing with that of pre-July 2003. For the empirical analysis, this paper uses especially so-called ‘counterfactual analysis with VAR’ and variance decomposition. According to the results of ‘counterfactual analysis with VAR’, the main factor for the volatility reduction in three dry bulk freight markets is the reduction of the shock size itself but the main factor for the volatility increase in other 9 markets is the increase of the shock persistence (or shock propagation mechanism) except one case. However, according to the results of variance decomposition, before July 2003 (so-called China Effect), there was higher idiosyncrasy in the volatility of every market than after July 2003.
참고문헌 (13)
- 임종관, "벡터자기회귀모형을 이용한 건화물선 시장 분석", 해운물류연구, 26(1), pp.17~35 (2010), 한국해운물류학회
- 정근존, "글로벌 금융위기가 BDI에 미치는 효과에 대한 실증분석", 해운물류연구, 26(1), pp.1~16 (2010), 한국해운물류학회
- Blanchard, O. J., "The Dynamic Effects of Aggregate Demand and Supply Disturbances", American Economic Review, 79 (1989)
- Boivin, J., "Assessing Changes in the Monetary Transmission Mechanism : A VAR Apporach", Federal Reserve Bank of New York Monetary Policy Reivew, 8(1) (2002)
- 정근존, "The Structural Change in the BDI Function due to the Global Financial Crisis: Using the Kalman Filter", 해운물류연구, 26(2), pp.217~231 (2010), 한국해운물류학회
- Gali, J., "How Well Does the IS-LM Model Fit Postwar U.S. Data?", Quarterly Journal of Economics, 107 (1992)
- A Bayesian Approach to Counterfactual Analysis of Structural Change, "Kim, C. J.", ~, pp.Working Paper 2004-014D (2006)
- 김윤미, "What Has Changed in the U.S. Business Cycle?: A Counterfactual Analysis Based on a Structural VAR", 한국경제학보(구 연세경제연구), 16(1), pp.3~22 (2009), 경제연구소
- Ko, Byoung Wook, "A Mixed-Regime Model for Dry Bulk Freight Market", The Asian Journal of Shipping and Logistics, 26(2), pp.185~204 (2010), 한국해운물류학회
- Ko, Byoung Wook, "An Application of Dynamic Factor Model to Dry Bulk Market - Focusing on the Analysis of Synchronicity and Idiosyncrasy in the Sub-markets with Different Ship Size -", KMI International Journal of Maritime Affairs and Fisheries, 3(1)
- Sims, Christopher A., "The Role of Interest Rate Policy in the Generation and Propagation of Business Cycles: What Has Changed since the 30’s, in : Beyond Shocks:What Causes Business Cycles", Federal Reserve Bank of BostonConference, 통권 : 42 (1998)
- Stock, J. H., "Has the Business Cycle Changed and Why?", NBER Macro-economics, 17, pp.96~ (2002)
- Stopford, "Maritime Economics, 3rd Edition" (2009), Routledge