국제자본거래비용과 실물경기변동 모형

This paper investigates the Korean business cycle model, which incorporates the international transaction costs. Firstly, we compare the Korean real interest with world real interest rate. The volatility of the Korean real interest rate are higher than that of the world real interest rate. This finding questions the assumption that the domestic interest rate of small open economy is same as the world interest rate under complete international capital mobility. Accordingly, this paper incorporate international transaction costs into our real business cycle model, Our model is parameterized, calibrated and simulated by Linear Quadratic Approximation Method. Our model is able to mimic the feature of the stylized facts of business cycles in Korea. From impulse response analysis, a net capital inflow shock has greater influences than productivity shock on the macroeconomic variables, and then rapidly converges to the equilibrium. In the case that the international transaction cost coefficient increases by 10%, the effects on economic variables of the productivity shock become smaller, whereas the effects on economic variables of the net capital inflow shock grow larger. Accordingly, it is necessary to develop policy instruments that are able to control both the short term capital flow and the international transaction costs.