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Purpose – This study aims to analyze the spillover effects of external real and financial shocks on the Korean economy during January 2000 and December 2019. Design/methodology/approach– Using the Bayesian VAR model, we analyze whether there were substantial changes in the effects of U.S. monetary policy and macroeconomic shocks after the global financial crisis. Findings– First, an increase in U.S. industrial production had long-term positive effects on Korea’s real and financial variables, except for Korea’s call rate. Second, the U.S. monetary policy shock measured by an increase in federal fund rate had significant negative effects on Korea’s current account balance and stock prices. Third, the Chicago Board Options Exchange (CBOE) Volatility Index (VIX) shock had a negative effect on Korea’s stock prices and the value of Korean won against the U.S. dollar. To sum it up, the spillover effects of external shocks have increased after the global financial crisis, implying that decoupling of domestic and foreign economies may be halted or reversed. Research implications or Originality– As the impact of the global financial crisis subsided and the global economy recovered, the spillover effects of external shocks on the domestic economy became also more significant. It should be noted that policy effectiveness may vary depending on interaction of internal and external economic conditions under the increasing uncertainty of the global economy.
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참고문헌 (35)
참고문헌 신청
Anaya, P. / 2017 / Spillovers of U. S. Unconventional Monetary Policy to Emerging Markets : The Role of Capital Flows / Journal of International Money and Finance 73(PB):275~295
Bauer, M. D. / 2013 / Monetary Policy Expectations at the Zero Lower Bound
Bernanke, B. S. / 1986 / Alternative Explanations of the Money-Income Correlation / Carnegie-Rochester Conference Series on Public Policy 25:49~99
Bernanke, B. / 1992 / The Federal Funds Rate and the Channels of Monetary Transmission / American Economic Review 82(4):901~921
Boivin, J. / 2006 / Has Monetary Policy Become More Effective? / The Review of Economics and Statistics 88(3):445~462
Bauer, M. D. / 2013 / Monetary Policy Expectations at the Zero Lower Bound
Bernanke, B. S. / 1986 / Alternative Explanations of the Money-Income Correlation / Carnegie-Rochester Conference Series on Public Policy 25:49~99
Bernanke, B. / 1992 / The Federal Funds Rate and the Channels of Monetary Transmission / American Economic Review 82(4):901~921
Boivin, J. / 2006 / Has Monetary Policy Become More Effective? / The Review of Economics and Statistics 88(3):445~462
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