소규모 개방경제에서의 통화정책충격의 효과분석: 블록 외생성을 이용한 구조 벡터자기회귀모형

This paper investigates the effects of both monetary policy and external shocks for Korean economy of a small open economy, using the structural vector auto-regression model with block exogeneity. For this purpose, we classify three types of shocks such as demand for money equation, supply of money equation and external variables associated with a large foreign economies. The main findings are as follows. Firstly, the increase in the short-run interest rate through the supply of money equation results initially in the decrease in the monetary aggregates, but such effect disappears after a certain point of time and rather converts to the increase in money supply possibly due to the inflow of foreign capital. Secondly, it is shown that the exchange rate is more sensitive to short-run interest rate than monetary aggregate and the increase in short-run interest rate raises the relative value of Korean currency against the US dollar. Thirdly, reflecting on the features of a small open economy, the foreign external shock apparently affects the relevant variables of the Korean economy. More specifically, Korea is more responsive to China than the US. Lastly, the Korean economy is more vulnerable to foreign external shocks after the 2008 financial crisis than before the crisis. This outcome is originated from the fact that the Korean economy is more globalized and dependent on the foreign economy implying further integration to the world economy.