국제 유가충격이 경제성장과 인플레이션에 미치는 영향
Asymmetric Impacts of International Oil Shocks on Domestic Growth Rateand Inflation
2
조회
0
다운로드
24
인용
0
참고문헌
키워드
초록
유가충격은 미관측변수이므로 충격을 어떻게 정의하느냐에 따라서 거시경제변수에 미치는 파급효과도 상이할 수 있다. 이에 본 연구는 선행연구에서 제시하는 가격기준과 수량기준의 유가충격을 정의하고 선형ㆍ비선형 유가충격변수가 국내경제성장과 인플레이션에 미치는 효과를 비교ㆍ분석하였다. 특히 실질유가충격의 속성(상승 혹은 하락)에 따라서 거시경제변수가 비대칭적으로 반응하는가를 조사하였다. 실증분석에 따르면 가격기준의 실질유가충격은 거시경제변수에 비대칭적인 영향을 미치는 것으로 나타났다. 즉 유가상승충격은 경제성장을 위축시키고 인플레이션을 상승시킨 반면 유가하락충격은 경제성장과 인플레이션에 영향이 없었다. 유가상승충격의 경제성장 탄력성은 최대 -0.05%이고 인플레이션 탄력성은 0.081%이다. 반면 수량기준의 실질유가충격은 거시경제변수에 대칭적으로 영향을 미치는 것으로 나타났다. 수량기준의 유가상승충격과 하락충격은 모두 경제성장에 미치는 영향이 없었으나, 인플레이션은 유가상승충격에 상승하고 하락충격에 하락하는 대칭성을 보였다. 유가상승충격의 인플레이션 탄력성은 최대 0.015%이고 하락충격의 탄력성은 최대 -0.01%였다.
Abstract
Oil shocks are unobserved variables. The impacts of oil shocks on macroeconomic variables may be different on how they are defined. Oil shocks are defined as both a price and an oil production shortfall criterion. This paper seeks to compare and analyze the impacts that oil shocks as defined by these criterion, have on macroeconomic variables, such as, domestic economic growth and inflation. In particular, the asymmetric response of macroeconomic variables to the nature of oil shocks is investigated. Multivariate structural VAR analysis is carried out using both linear and nonlinear models. The latter category includes three approaches employed in the literature, namely, the asymmetric, scaled and net specifications. Empirical analysis shows that oil price shocks have an asymmetric effect on macroeconomic variables. In the case of oil price increase shocks, it reduces economic growth and increases the inflation rate, but oil price decrease shocks do not have any significant effects on these variables. The elasticity of economic growth against oil price increase shocks is -0.05%, while that against the inflation rate is 0.081%. But oil production shortfall shocks do not have an asymmetric effect on macroeconomic variables. Oil production shortfall shocks in both increases and decreases have no effect on economic growth, but do have a symmetric effect in both positive and negative oil production shortfall shocks on the rate of inflation. The elasticity of inflation rate for positive oil production shortfall shocks was at most 0.015% and for negative oil production shortfall shocks was at most -0.01%.
참고문헌 (41)
- "?금융시계열분석?" (2000), 경문사
- 김영덕, "?유가변동충격의 파급경로에 관한 연구?" (2002), 에너지경제연구원.
- "?유가충격이 산업활동에 미치는 영향 산업별 영향을 중심으로?" (2003), 에너지경제연구소
- 윤덕룡ㆍ, "?석유위기 조기경보 시스템 개발?" (2004), 대외경제정책연구원
- 이근영, "유가상승이 국민소득 물가 및 통화정책에 미치는 영향", 16(2), pp.103~129 (2002)
- 정명철, "장기제약 VAR모형에 의한 한국의 실질환율 변동요인과 균형실질환율", 9(3), pp.139~172 (2003), 한국은행
- Aguiar-Conraria, Luis, "Understanding the Impact of Oil Shocks FRB of ST" (2005)
- Ball,, "Relative-Price Changes as Aggregate Supply Shocks", 110(1), pp.161~193 (1995)
- Ben S, "Alternative Explanations of the Money-Income Correlation Carnegie-Rochester Conference Series on Public Policy" (1986), North-Holland
- Bernanke, Ben S, "Systematic Monetary Policy and the Effects of Oil Price Shocks", pp.91~157 (1997)
- Bjornland, Hilde Christiane, "The Dynamic Effects Aggregate Demand, Supply and Oil Price Shocks － A Comparative Study", 68(5), pp.578~607 (2000)
- Blanchard, Olivier Jean, "The Dynamic Effects of Aggregate Demand and Supply Disturbance", 79, pp.655~673 (1989)
- Brown, Stephen P. A, "Oil Price and U.S. Aggregate Economic Activity: A Question of Neutrality", pp.16~23 (1999)
- Burbidge, "Testing for the Effects of Oil-Price Rises using Vector Autoregressions", pp.459~484 (1984)
- Cunado, Juncal, "Do Oil Price Shocks Matter? Evidence for Some European Countries", 25, pp.137~154 (2003)
- Gali, "The Quarterly Journal of Economics", pp.709~738 (1992)
- Goodwin, "Tests of some popular notions Journal of Money", pp.95~103 (1986)
- Runkle, "On the Relation between the Expected Value and the Volatility of the Normal Excess Return on Stocks Journal of Finance", pp.1779~1801 (1993)
- Gordon, Robert R, "Foundations of the Goldilocks Economy:Supply Shocks and Time-Varying NAIRU" (1998)
- James D, "Oil and the Macroeconomy since World War Ⅱ Journal of Political Economy", pp.228~248 (1983)
- "This is What Happened to the Oil Price-Macroeconomy Realtionship", 38, pp.215~220 (1996)
- "What is an Oil Shock?", 113, pp.363~398 (2003)
- Hamilton, "Oil Shocks and Aggregate Macroeconomic Behavior: The Role of Monetary Policy", 25(2), pp.265~291 (2004)
- "What Happened to the Oil Price-Macroeconomy Relationship", 38, pp.195~213 (1996)
- "This is What Happened to the Oil Price-Macroeconomy Relationship: Reply", 38, pp.221~222 (1996)
- "Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications versus Changes in Regime", 34(2), pp.540~561 (2002)
- "Structural Change and the Macroeconomic Effects of Oil Shocks Empirical Evidence from the United States and Japan Journal of International Money and Finance", pp.587~606 (1993)
- "Oil Price Shocks and Real GDP Growth: Empirical Evidence for Some OECD Countries", 37, pp.201~228 (2005)
- "Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy?", (5131.) (2005)
- "The Effects of Exogenuous Oil Supply Shocks on Output and Inflation Evidence from the G7 Countries" (2005), Unpublished manuscripts
- "The Role of Energy in Real Business Cycle Model Journal of Monetary Economics", pp.173~189 (1992)
- "Exchange Rate Anomalies in the Industrial Countries: A Solution with a Structural VAR Approach", 45, pp.561~586 (2000)
- "International Transmission of U.S. Monetary Policy Shocks: Evidence from VAR's", 48, pp.339~372 (2001)
- "International Evidence on Equity Price, Interest Rates and Money", 17, pp.377~406 (1998)
- "Monetary Policy, Oil Price Shocks, and the Japanese Economy", 13, pp.321~349 (2001)
- "Oil shocks and the Macroeconomy: The Role of Price Variability", 16(4), pp.39~56 (1995)
- "Introduction to Multiple Time Series Analysis" (1993), Springer-Verlag
- "Oil and the Macroeconomy When Prices Go Up and Down An Extention of Hamilton's Results Journal of Political Economy", pp.740~744 (1989)
- "Monetary Shocks and Real Exchange Rates", 49, pp.269~288 (1999)
- "Are Forecasting Models Usable for Policy Analysis?", pp.2~16 (1986)
- "Supply Shocks and the Persistence of Inflation" (2002)