MS 모형을 이용한 경기변동의 구조적 변화와 안정성 추정

This study analyzed the structural changes and stability between the industrial production index and composite leading indexes in Korea. First, the MS model showed somewhat higher probability of the contraction regime than the expansion regime and relatively more long-term duration of the contraction with log variables. And the contraction regime acted as a bad news in the Business Cycles, while a very large variation by indexes contained the stagnant volatility in the expansion regime, showing the downside of indexes. Second, the structural changes were present by indexes in Chow model. the 1-Step tests showed that the coefficients were mixed remarkably stable and unstable during the financial crisis period. And all of the coefficients were constantly unstable in the N-Step tests. The indexes except opening—to-application ratio were persistently unstable in the CUSUM and CUSUMSQ tests over the total periods. Third, there were the most significant and strong volatility spillover effects and the asymmetric effects in the BEKK model. Fourth, the economy and business with the stochastic distributions of regimes were subjected to the volatility with structural changes. Finally, this study identified the structural changes in the significant volatility occurring between the indexes of all industry production and composite leading indexes in the business cycles, including the economic crisis. We confirmed that the structural changes exist significantly between the indexes, including the impact of the crisis in the business cycles.