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      유가충격이 거시경제변수에 미치는 영향 = Presidential Address : The Effects of Oil Price Shocks on the Macroeconomic Variables

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      https://www.riss.kr/link?id=A60240967

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      부가정보

      국문 초록 (Abstract)

      본 연구에서는 유가충격이 거시경제변수에 미치는 영향이 기간에 따라 어떻게 변화되어 왔는가를 살펴보았다. 30년 단위로 표본을 순차적으로 이동시켜 5변수 오차수정 모형을 추정하는 경우 유가가 1% 상승함에 따라 평균적으로 대략 6분기 동안 소비자물가는 0.104% 상승하나 GDP와 M2는 각각 0.042%와 0.034% 하락한다. 반면 원/달러환율은 초기에는 하락하다 1년 후 상승세로 돌아선다. 또한 10년 단위로 표본을 순차적으로 이동시켜 2변수 차분 VAR 모형을 추정한 결과 유가충격에 대한 소비자물가와 M2의 반응은 점진적으로 약해지는 반면 글로벌 금융위기 이후에는 원/달러환율, 소비자물가, M2의 반응이 모두 커진다. 한편 GDP에 대한 부정적인 효과는 1990년대 말부터 약화된다. 이러한 거시경제변수의 반응은 세계적인 수요와 공급의 변화 등과 같은 외생적 요인 외에 고환율과 저금리정책, 그리고 국내 산업구조의 변화 등과 밀접한 연관성을 갖는 것으로 보인다. 한편 유가는 하락할 때보다 상승할 때 원/달러환율과 소비자물가지수에 더 큰 영향을 미친다.
      번역하기

      본 연구에서는 유가충격이 거시경제변수에 미치는 영향이 기간에 따라 어떻게 변화되어 왔는가를 살펴보았다. 30년 단위로 표본을 순차적으로 이동시켜 5변수 오차수정 모형을 추정하는 경...

      본 연구에서는 유가충격이 거시경제변수에 미치는 영향이 기간에 따라 어떻게 변화되어 왔는가를 살펴보았다. 30년 단위로 표본을 순차적으로 이동시켜 5변수 오차수정 모형을 추정하는 경우 유가가 1% 상승함에 따라 평균적으로 대략 6분기 동안 소비자물가는 0.104% 상승하나 GDP와 M2는 각각 0.042%와 0.034% 하락한다. 반면 원/달러환율은 초기에는 하락하다 1년 후 상승세로 돌아선다. 또한 10년 단위로 표본을 순차적으로 이동시켜 2변수 차분 VAR 모형을 추정한 결과 유가충격에 대한 소비자물가와 M2의 반응은 점진적으로 약해지는 반면 글로벌 금융위기 이후에는 원/달러환율, 소비자물가, M2의 반응이 모두 커진다. 한편 GDP에 대한 부정적인 효과는 1990년대 말부터 약화된다. 이러한 거시경제변수의 반응은 세계적인 수요와 공급의 변화 등과 같은 외생적 요인 외에 고환율과 저금리정책, 그리고 국내 산업구조의 변화 등과 밀접한 연관성을 갖는 것으로 보인다. 한편 유가는 하락할 때보다 상승할 때 원/달러환율과 소비자물가지수에 더 큰 영향을 미친다.

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      다국어 초록 (Multilingual Abstract)

      The paper examines how the macroeconomic effects of oil price shocks have been changed over the past 40 years using multivariate ECMs and bivariate VARs. It first estimates 5-variable ECMs 80, 60, and 40 times, respectively, using a moving window of 20, 25, and 30 years. The estimation results show that in case of estimating the 5-variable ECM based on a moving window of 30 years, statistical significance of impulse responses and variance decompositions is the highest. In this case, an 1% positive oil price shock results in 0.104% increase in CPI, but 0.042% and 0.034% decreases in GDP and M2 on average, respectively. Won/dollar exchange rates decrease in the initial stage, but begin to increase from 1 year later. The paper then estimates bivariate VARs 120 times using a moving window of 10 years in order to investigate whether the effects of oil price shocks on macroeconomic variables are time varying or not. The estimation results show that the responses of CPI and M2 to oil price shocks gradually become weaker until 2007, but that those of won/dollar exchange rates as well as CPI and M2 are bigger after the global financial crisis. On the other hand, the negative effects of oil price shocks on GDP become weaker from the end of the 1990s. Such responses of macroeconomic variables seem to be closely associated with either changes of the domestic industrial structure or undervalued won and low interest rate policies as well as outside factors such as global demand and supply changes. Particularly, the negative effect of oil price shocks on inflation is more deteriorated in case of including the post-crisis period. This phenomenon results from demand side factors like low interest rate and undervalued won policies rather than supply side factors like hike of wage and raw material price. It implies that recent inflation has a feature of demand pull inflation as well as cost push inflation. There exists a possibility that responses of macroeconomic variables in case of oil price increase are different from those in case of oil price decrease because of downward rigidity of price and asymmetry of monetary policy. In order to test asymmetric effects of oil price shocks, the paper estimates 6-variable ECMs 40 times using a moving window of 30 years. The oil price variable is decomposed into two new variables: OP+ includes positive changes in oil prices and zero otherwise, while OP- consists of negative changes in oil prices and zero otherwise. According to the empirical results, oil price shocks have more impact on macroeconomics variables when the oil price rises rather than falls. Furthermore, the asymmetric responses of won/dollar exchange rates and CPI to oil price shocks are statistically significant at the conventional level. In the near future, this argument needs to be developed in the direction to theoretically and empirically study what make the responses of macroeconomic variables to oil price shocks change over times. One of interesting topics may be a microeconomic approach based on causal relationships between parameter estimates or impulse response functions of ECMs and the industrial structure change.
      번역하기

      The paper examines how the macroeconomic effects of oil price shocks have been changed over the past 40 years using multivariate ECMs and bivariate VARs. It first estimates 5-variable ECMs 80, 60, and 40 times, respectively, using a moving window of 2...

      The paper examines how the macroeconomic effects of oil price shocks have been changed over the past 40 years using multivariate ECMs and bivariate VARs. It first estimates 5-variable ECMs 80, 60, and 40 times, respectively, using a moving window of 20, 25, and 30 years. The estimation results show that in case of estimating the 5-variable ECM based on a moving window of 30 years, statistical significance of impulse responses and variance decompositions is the highest. In this case, an 1% positive oil price shock results in 0.104% increase in CPI, but 0.042% and 0.034% decreases in GDP and M2 on average, respectively. Won/dollar exchange rates decrease in the initial stage, but begin to increase from 1 year later. The paper then estimates bivariate VARs 120 times using a moving window of 10 years in order to investigate whether the effects of oil price shocks on macroeconomic variables are time varying or not. The estimation results show that the responses of CPI and M2 to oil price shocks gradually become weaker until 2007, but that those of won/dollar exchange rates as well as CPI and M2 are bigger after the global financial crisis. On the other hand, the negative effects of oil price shocks on GDP become weaker from the end of the 1990s. Such responses of macroeconomic variables seem to be closely associated with either changes of the domestic industrial structure or undervalued won and low interest rate policies as well as outside factors such as global demand and supply changes. Particularly, the negative effect of oil price shocks on inflation is more deteriorated in case of including the post-crisis period. This phenomenon results from demand side factors like low interest rate and undervalued won policies rather than supply side factors like hike of wage and raw material price. It implies that recent inflation has a feature of demand pull inflation as well as cost push inflation. There exists a possibility that responses of macroeconomic variables in case of oil price increase are different from those in case of oil price decrease because of downward rigidity of price and asymmetry of monetary policy. In order to test asymmetric effects of oil price shocks, the paper estimates 6-variable ECMs 40 times using a moving window of 30 years. The oil price variable is decomposed into two new variables: OP+ includes positive changes in oil prices and zero otherwise, while OP- consists of negative changes in oil prices and zero otherwise. According to the empirical results, oil price shocks have more impact on macroeconomics variables when the oil price rises rather than falls. Furthermore, the asymmetric responses of won/dollar exchange rates and CPI to oil price shocks are statistically significant at the conventional level. In the near future, this argument needs to be developed in the direction to theoretically and empirically study what make the responses of macroeconomic variables to oil price shocks change over times. One of interesting topics may be a microeconomic approach based on causal relationships between parameter estimates or impulse response functions of ECMs and the industrial structure change.

      더보기

      참고문헌 (Reference)

      1 이근영, "유가상승이 국민소득, 물가 및 통화정책에미치는 영향" 한국금융연구원 16 (16): 103-130, 2002

      2 김기호, "소비자물가에 대한 유가 및 환율충격의 非對稱性․非線型性 분석" 한국국제경제학회 15 (15): 131-152, 2009

      3 Hamilton, J. D., "What Is an Oil Shock" NBER Working Paper 2000

      4 Hamilton, J. D, "This Is What Happened to the Oil Price-Macroeconomy Relationship" 38 : 215-220, 1996

      5 Blanchard, O. J, "The Macroeconomic Effects of Oil Price Shocks : Why Are the 2000s So Different from the 1970s" NBER Working Paper, 2007

      6 Christiano, L, "The Effect of Monetary Policy Shocks : Evidence from the Flow of Funds" 78 : 16-34, 1996

      7 Burbidge, J, "Testing for the Effects of Oil-Price Rises Using Vector Autoregressions" 25 : 459-484, 1984

      8 Bernake, B. S, "Systematic Monetary Policy and the Effects of Oil Price Shocks" 1 : 91-157, 1997

      9 Edelstein, P, "Retail Energy Prices and Consumer Expenditures" University of Michigan 2007

      10 Mork, K. A, "Oil and the Macroeconomy When Prices Go Up and Down : An Extension of Hamilton’s Results" 91 : 740-744, 1989

      1 이근영, "유가상승이 국민소득, 물가 및 통화정책에미치는 영향" 한국금융연구원 16 (16): 103-130, 2002

      2 김기호, "소비자물가에 대한 유가 및 환율충격의 非對稱性․非線型性 분석" 한국국제경제학회 15 (15): 131-152, 2009

      3 Hamilton, J. D., "What Is an Oil Shock" NBER Working Paper 2000

      4 Hamilton, J. D, "This Is What Happened to the Oil Price-Macroeconomy Relationship" 38 : 215-220, 1996

      5 Blanchard, O. J, "The Macroeconomic Effects of Oil Price Shocks : Why Are the 2000s So Different from the 1970s" NBER Working Paper, 2007

      6 Christiano, L, "The Effect of Monetary Policy Shocks : Evidence from the Flow of Funds" 78 : 16-34, 1996

      7 Burbidge, J, "Testing for the Effects of Oil-Price Rises Using Vector Autoregressions" 25 : 459-484, 1984

      8 Bernake, B. S, "Systematic Monetary Policy and the Effects of Oil Price Shocks" 1 : 91-157, 1997

      9 Edelstein, P, "Retail Energy Prices and Consumer Expenditures" University of Michigan 2007

      10 Mork, K. A, "Oil and the Macroeconomy When Prices Go Up and Down : An Extension of Hamilton’s Results" 91 : 740-744, 1989

      11 Hamilton, J. D, "Oil and the Macroeconomy Since World War Ⅱ" 96 : 593-617, 1983

      12 Raymond, J. E, "Oil and the Macroeconomy : A Markov State-Switching Approach" 28 : 193-213, 1997

      13 Lee, K, "Oil Shock and the Macroeconomy : The Role of Price Variability" 16 : 39-56, 1995

      14 Trehan, B., "Oil Prices, Exchange Rates and the U.S. Economy : An Empirical Investigation" 4 : 25-43, 1986

      15 Herrera, A. M, "Oil Price Shocks, Systematic Monetary Policy, and the Great Moderation" Michigan State University 2007

      16 Balke, N. S, "Oil Price Shocks and the U.S. Economy : Where Does the Asymmetry Originate? Working Paper" Federal Reserve Bank of Dallas 1999

      17 Mork, K. A., "Macroeconomic Responses to Oil Price Increases and Decreases in Seven OECD Countries" 15 : 19-35, 1994

      18 Jorda, O., "Estimation and Inference of Impulse Responses by Local Projections" 95 : 161-182, 2005

      19 Bruno, M, "Economics of Worldwide Stagflation" Harvard University Press 1985

      20 Barky, R, "Do We Really Know that Oil Caused the Great Stagflation? A Monetary Alternative" NBER Working Paper 2001

      21 Gisser, M, "Crude Oil and the Macroeconomy : Tests of Some Popular Notions" 18 : 95-103, 1986

      22 Hooker, M. A, "Are Oil Shocks Inflationary? Asymmetric and Nonlinear Specifications versus Changes in Regime" 34 : 540-561, 2002

      23 De Gregorio, J., "Another Passthrough Bites the Dust? Oil Prices and Inflation" 2007

      24 Stock, J. H, "A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems" 61 : 783-820, 1993

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      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 0.57 0.57 0.64
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      0.61 0.62 1.431 0.06
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