해외요인 충격에 따른 생산자·소비자물가의 변화가 산업생산에 미치는 영향

This study examines the dynamic impact of domestic price shocks derived from changes in overseas factors such as World Industrial Production Index (WIPI), Federal Funds Rate (FFR), US dollar Index (DXY), Commodity Research Bureau Index (CRB), and Baltic Dry Index (BDI) on domestic industrial production using monthly data from January 2000 to September 2023 through the time-varying parameters vector autoregressive models with exogenous variables (TVP-VARX model). According to the empirical analysis, individual and joint positive shocks in PPI and CPI, on average, increase industrial production during the sample period. However, since August 2014, the positive shocks in domestic prices have acted as a factor decreasing industrial production. Investigating the impact of overseas factors through the domestic prices channel, 1% positive shock in changes in WIPI and DXY transitions from a decreasing factor of industrial production to an increasing factor over time. On the other hand, a 1% positive shock in changes in the FFR, CRB and BDI initially increase industrial production but decrease it in the later period via joint shocks in domestic prices. Thus, the impact of the overseas factors on domestic industrial production through domestic prices is not constant but changes over time. However, when a 1% positive shock for changes in the won/dollar exchange rate is also considered, the impact of domestic price shocks derived from the overseas factors on domestic industrial production is consistent over time. This indicates that the Won/Dollar exchange rate is an important determinant of the domestic industrial production. Meanwhile, the impact of the overseas shocks on the manufacturing production is more significant than that on the overall industrial production, regardless of firm size. Without considering Won/Dollar exchange rates, SMEs in the manufacturing sector respond more sensitively than large-sized enterprises. Conversely, when the Won/Dollar exchange rates are included in the model, SMEs respond less sensitively than large sized enterprises. Combining these with our another finding that responses of SME manufacturing production to domestic prices are more pronounced than those of large-sized enterprise production without taking overseas factors into account, our results suggests that SME manufacturing production is more vulnerable to both domestic and overseas shocks.