본문 바로가기
KERD
논문KCI 등재

The role of the exchange rate in Korean economy: A shock absorber or a source of shock

2

조회

0

다운로드

2

인용

0

참고문헌

키워드

주제분류경제학

초록

This paper analyzes the role of the exchange rate in Korean economic fluctuations based on a structural vector autoregression model. We employ sign restrictions to identify structural shocks of the VAR model, and examine whether the exchange rate works as a shock absorber or a source of shocks in Korea. We find that nominal shocks play a major role in explaining the real exchange rate fluctuations, especially after the currency crisis. This implies that the exchange rate seems to be a source of destabilization rather than a shock absorber in Korea.

Abstract

This paper analyzes the role of the exchange rate in Korean economic fluctuations based on a structural vector autoregression model. We employ sign restrictions to identify structural shocks of the VAR model, and examine whether the exchange rate works as a shock absorber or a source of shocks in Korea. We find that nominal shocks play a major role in explaining the real exchange rate fluctuations, especially after the currency crisis. This implies that the exchange rate seems to be a source of destabilization rather than a shock absorber in Korea.

참고문헌 (25)

  1. Artis, M., "The exchange rate ? A shock-absorberor source of shocks? A study of four open economies", Journal ofInternational Money and Finance, 25, pp.874~93 (2006)
  2. Bernanke, B., "Alternative explanation of the money-income correla-tion", Carnegie-Rochester Conference Series on Public Policy, 25, pp.49~100 (1986)
  3. Blanchard, O., "The dynamic ects of aggregate demandand supply disturbances", American Economic Review, 79, pp.655~673 (1989)
  4. Blanchard, O., "Are business cycles all alike? in : The American Business Cycle: Continuity andChange", pp.123~156 (1986), Univ. of Chicago Press
  5. Canova, F., "Monetary disturbances matterfor business ctuations in G-7", Journal of Monetary Economics, 49, pp.1131~1159 (2002)
  6. Clarida, R., "Sources of real exchange-rate ctuations:How important are nominal shocks?", Carnegie-Rochester Confer-ence on Public Policy, 41, pp.1~56 (1994)
  7. Darvas,Z., "Sing restrictions are more robust than long-run restrictionsin structural VARs" (2006), mimeo
  8. Farrant, K., "Is the exchange rate a shock absorberof a source of shocks? New empirical evidence", Journal of MoneyCredit and Banking, 38, pp.939~61 (2006)
  9. Faust, J., "The robustness of identi칎d VAR conclusions about money", Carnegie-Rochester Conference on Public Policy, 49, pp.207~244 (1998)
  10. Faust, J., "When do long-run identifying restrictions givereliable results", Journal of Monetary Economics, 50, pp.1403~1424 (1997)
  11. Gali, J., "How well does the IS-LM model 칣 postwar U.S. data", Quar-terly Journal of Economics, 107, pp.709~738 (1992)
  12. 김소영, "통화 정책 충격의 거시 경제적 효과에 관한 실증 분석 문헌 : 통화 정책 충격의 식별에 관한 문제를 중심으로", 금융연구, 12(2), pp.95~126 (2007), 한국금융학회
  13. Kim, W., "An analysis on the ects of foreign economicshocks on Korean IT exports" (2008), KISDI Issue Report 08-09, KoreaInformation Society Development Institute
  14. Lastrapes, W., "Sources of 컐ctuations in real and nominal exchangerates", Review of Economics and Statistics, 74, pp.530~539 (1992)
  15. Mussa, M., "Nominal exchange regimes and the behavior of real ex-change rates: evidence and implications", Carnegie-Rochester Con-ference Series on Public Policy, 25, pp.117~214 (1986)
  16. Obstfeld, M., "Floating exchange rates: Experience and prospects", Brookings Papers on Economic Activity, 2, pp.369~450 (1985)
  17. Peersman, G., "What caused the Early millennium slowdown? Evi-dence based on vector autoregressions" (2003), Discussion Paper no. 20,Bank of England
  18. Peersman, G., "What caused the Early millennium slowdown? Evidencebased on vector autoregressions", Journal of Applied Econometrics, 20, pp.185~207 (2005)
  19. Press, A., "Numerical Recipes: The Art of Scienti Computing" (1997), Cam-bridge University Press
  20. Sims, C., "Macroeconomics and reality", Econometrica, 48, pp.1~48 (1980)
  21. Sims, C., "Are Forecasting Models Usable for Policy Analysis?", FederalReserve Bank of Minneapolis Quarterly Review, 10, pp.2~16 (1986)
  22. Sims. C., "Error bands for impulse responses", Economet-rica, 67, pp.1113~1155 (1999)
  23. Smets, F., "Measuring monetary policy shocks in France, Germany andItaly: the role of the exchange rate", Swiss Journal of Economicsand Statistics, 133, pp.597~616 (1997)
  24. Uhlig, H., "What are the e췦cts of monetary policy on output? Resultsfrom an agnostic identi칌ation procedure", Journal of MonetaryEconomics, 52, pp.381~419 (2005)
  25. Zellner, A., "An Introduction to Bayesian Inferences in Econometrics" (1971), John Wiley and Sons

관련 논문AI추천

이 간행물의 다른 논문 (5건)