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국가지식⋅공공저작물> 한국은행> 한국은행 기타자료> Which external shock matters in small open economies? US economic policy uncertainty vs. global risk aversion

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Which external shock matters in small open economies? US economic policy uncertainty vs. global risk aversion

  • : Youngju Kim, Hyunjoon Lim
  • : 한국은행
  • : 한국은행 기타자료  2018권 10호
  • : 2018
  • : pp.1-52(총 52페이지)

한국은행

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목차

    s
    Ⅰ. Introduction ··················································································· 1
    Ⅱ. Related literature ········································································ 5
    Ⅲ. Identification and Estimation ············································· 7
    Ⅳ. Results ····························································································· 12
    Ⅴ. Conclusion ···················································································· 29
    References ···························································································· 31
    Appendix ······························································································· 35

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본고는 미국의 정책불확실성 충격과 위험회피 충격이 각각 소규모개방경제에 어느 정도로 영향을 미치는지를 패널VAR 모형을 통해 분석하였다. 추정 결과, 소규모개방경제의 실물 및 금융부문이 미국의 정책불확실성 충격에는 상대적으로 미약하지만 오랜 기간에 걸쳐 반응하는 것으로 나타난다. 그에 반해, 외험회피 충격에는 일시적으로 강하게 반응하는 것으로 나타난다. 한편 개별 충격의 반응을 국가그룹별로 구분하여 살펴 본 결과, 선진국 경제는 미국의 정책불확실성 충격에 강하게 반응하는 반면 신흥시장국은 위험회피충격에 상대적으로 크게 반응하는 것으로 나타난다.

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