소규모 개방경제하의 거시경제충격과 경기변동

One of the most interesting fields in economics is to examine not only what factors trigger economic fluctuations but also which of them is major. In this paper, through a structural VAR approach, we identified three kinds of structural shocks; demand shocks, global and local supply shocks, having a motivation that Korea economy is small open economy and there haven't been appropriate VAR analysis to reflect the fact. Demand shocks are defined by a restriction that they have no effect on output in the long run, whereas supply shocks aren't restricted on the effect. Of two supply shocks, global supply shocks influence on domestic and foreign economies to the equal extent in the long run, thus they can't change the export-GDP ratio. On the contrary, local supply shocks affect in a different degree, and bring about a change in the ratio in the long run. Estimation results of impulse response and variance decomposition were as followings. Responding to demand shocks, output and price level increased in a short term. As theoretically expected, global and local supply shocks increased output and lowered price at the same time. Especially remarkable findings in this paper is that in this small open Korea economy, global supply shocks have played crucial roles in business fluctuations in a short run as well as in a long run, differently from large economy. Global supply shocks have had a permanent effect on the output and price. Moreover, they accounted for over 40% of whole variation of their prediction error even in a short term. Finally, we could derive several policy implications from these findings.