국제유가가 GDP에 미치는 비선형적 영향

Purpose - This paper aims to derive policy implications by analyzing the impact of international oil prices on Korea's GDP. Design/methodology/approach - This study analyzed the nonlinear impact of changes in international oil prices on Korea's GDP. Considering the structural characteristic that Korea imports all of its crude oil, data on international oil prices in both Korean won and US dollar terms were utilized. Findings - Using the nonlinear models proposed by Hamilton (1996, 2003) and Charfeddine et al. (2020), the empirical analysis revealed that an increase in international oil prices had a statistically significant negative effect on GDP with a two-quarter lag. In contrast, a decline in oil prices did not show any significant impact on GDP. Notably, the asymmetry in the impact of oil price increases was more pronounced in the analysis using oil prices based on the Korean won, potentially due to overestimation resulting from the use of censored data. These findings were consistently observed even in the adjusted model, underscoring that rising international oil prices negatively affect the macroeconomy through increased production costs, reduced consumption, and diminished investment. Research implications or Originality - This study emphasizes the importance of policy responses to ease economic shocks when oil prices rise, especially if oil prices rise rapidly, specific policy response to alleviate it is required. It suggests that there is a need to take into account the measures to prevent the impact of oil prices due to falling value.