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Purpose - The purpose of this paper is to investigate the effect of structural shocks on the Korean macroeconomy using Dynamic Stochastic General Equilibrium(DSGE). Design/methodology/approach - The small open economy model has been applied with the price rigidity and monopolistic competition assumption. After that, using the Bayesian inference method, the structural model with forward looking variables have been estimated. Findings - First, with the bayesian estimation with prior parameters and distribution, the estimated parameters are consistent with existing results and are within the range of reasonable values. Second, looking at the impulse response functions when the technology shock happens in the model, the aggregate income increases due to the substitution of consumption-leisure and domestic and foreign goods. In addition, as a result of the shock, both domestic and consumer prices decrease. Third, when there is a foreign income shock, the output increases because the export increases and households substitute the domestic goods from the foreign goods. Research implications or Originality - Increasing market opening can increase volatility in domestic output and inflation. Therefore, monetary authorities need to carefully monitor changes in overseas shock factors and analyze economic changes and the propagation mechanism of shocks in detail in order to promote economic stabilization.
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참고문헌 (22)
참고문헌 신청
An, S / 2007 / Bayesian Analysis of DSGE Models / Econometric Review 26(2-4):113~172
Alofson, M. / 2007 / Incomplete Exchange Rate Pass-through and Simple Monetary Policy Rule / Journal of International Money and Finance 26:468~494
Alofson, M. / 2008 / Evaluating an Estimated New Keynesian Small Open Economy Model / Journal of Economic Dynamics and Control 32:2690~2721
Bae, Byong-Ho / 2014 / New BOK-DSGE Model for Economic Forecast and Policy Analysis / Research Statistics Monthly Bulletin 2014(5):16~52
Benigo, G / 2003 / Price Stability in Open economies / Review of Economic Studies 70(4):743~764
Alofson, M. / 2007 / Incomplete Exchange Rate Pass-through and Simple Monetary Policy Rule / Journal of International Money and Finance 26:468~494
Alofson, M. / 2008 / Evaluating an Estimated New Keynesian Small Open Economy Model / Journal of Economic Dynamics and Control 32:2690~2721
Bae, Byong-Ho / 2014 / New BOK-DSGE Model for Economic Forecast and Policy Analysis / Research Statistics Monthly Bulletin 2014(5):16~52
Benigo, G / 2003 / Price Stability in Open economies / Review of Economic Studies 70(4):743~764
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