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Policy Study
Changes in the Business Cycle of the Korean Economy: Evidence and Explanations

December 31, 2008

  • Author Jaejoon Lee
  • Series No. Policy Study 2008-13
  • Language Korean
PDF
Policy Study
Changes in the Business Cycle of the Korean Economy: Evidence and Explanations

December 31, 2008

  • Author Jaejoon Lee
  • Series No. 2008-13
  • Language Korean
PDF
    발간사
    요 약

    제1장 서 론

    제2장 경기변동 분석의 기초
     제1절 경기변동요인의 식별
      1. 고전적 경기순환(business cycle)과 성장순환(growth cycle)
      2. 추세요인과 순환변동요인의 추출
     제2절 국내 경기변동의 일반적 특징
      1. 선형추세와 차분을 이용한 순환요인의 추출
      2. 선형필터를 이용한 순환요인의 추출

    제3장 우리나라 경기변동의 특징에 대한 분석
     제1절 분석방법론
      1. 데이터
      2. 경기변동요인의 추출 및 동행성 판별
      3. 예측방정식의 추정 및 예측력 기여도 측정
     제2절 거시경제변수의 경기변동적 특성
      1. 국민계정상 총수요 항목의 경기변동적 특성
      2. 물가지수와 인플레이션
      3. 고용 및 임금
      4. 이자율과 금융변수
      5. 통화지표

    제4장 우리나라 경기변동과정의 안정성 분석
     제1절 경기순환과정의 구조적 변화에 대한 검정
     제2절 경기순환과정의 변동성에 대한 분석
      1. 우리나라 경기순환과정의 변동성
      2. 변동성 감소의 원인에 대한 계량분석
      3. 부문별 변동성 특징

    제5장 결 론

    참 고 문 헌

    부 록
With a relatively simple quantitative method, this study comprehensively analyzes the characteristics related to business cycles represented by macroeconomic variables of Korea since 1970. This empirical analysis deals with roughly following three topics: How to identify cyclical component with respect to trend; with what characteristics and how the economic variables of each sector move within the phases of business cycle, and; whether there are signs of a structural change in the phases of business cycle.

Chapter 2 discusses how to identify trends and cycle components, the basis assumption for the analysis of business cycle. Like the Korean economy, where a relatively high growth rate has been maintained, it is appropriate to determine its economic recession based on the fall in the growth trend, not in the absolute level of real output. And, it is necessary to apply the concept of growth cycle against a traditional concept of business cycle. Accordingly, the setting of growth trend is of preliminary importance in identifying cyclical fluctuations. The analysis of Korea’s GDP data since 1970, the decomposition of trends and cycles through the Band-pass filter is found to appropriately identify the actual phases of busyness cycle.

Chapter 3 analyzes what particular relationship various economic variables have with output fluctuations during the phases of economic cycle, using the cross-correlation coefficients and prediction contribution. Chapter 4 monitors the stability of the phases of Korea’s business cycle and quantitatively verifies whether there is a structural break, and then reviews the characteristics of variations in each sector. And, stylized facts observed through these studies are summarized in the conclusion.

The macroeconomic stability of Korea, in particular, is found to continue to improve since 1970, except for the financial crisis period. Not only that, it is found that its volatility of economic growth rate as well as inflation have been reduced gradually. Meanwhile, until recently since 2000, the volatility in domestic demand has remained stable, while that in exports and imports has been increased slightly. But, in an overall perspective, Korea’s business cycle variation is on the decline due to shorter response period to shocks and the formation of complementary relationship among economic sectors.

The trend component is related to the concept of potential economic growth. Therefore, a study on business cycle and economic growth should be conducted in a complementary manner, and it is hoped that this study could serve as a basic reference to future macroeconomic analysis.
 
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Office of Global Economy
Providing Economic Forecast and Macroeconomic Policy Direction, the Groundwork for a Brighter Future

The Department of Macroeconomics is conducting researches on the macro economy and macroeconomic policy, particularly focusing on suggesting the analysis of macroeconomic trends and current status of the economy at home and abroad, the economic forecast, and the policy direction of the macro economy. The Department is also in charge of establishing, sustaining and maintaining various econometric models, based on which it analyses policy effects and develops a long-term economic forecast.

Main Tasks
  • Economic trend analysis, short- and long-term forecast
  • Policy study on macroeconomic management
  • Basic structural analysis on macroeconomic areas
  • Maintenance of multi-sectoral dynamic macroeconomic model
Department of Macroeconomic Policy
  • LEE. Tae Suk

    Director, Division of Analysis and Evaluation

    82-044-550-4725
  • CHO, Byungkoo On leave

    Director and Vice President, Department of North Korean Economy

    82-044-550-4725
  • LEE, Jongkyu

    Fellow

    82-044-550-4725
  • WEE, Hyeseung Dispatched

    Research Associate

    82-044-550-4725
  • NAM, Jinwook On leave

    Specialist

    82-044-550-4725
  • KIM, Seulki

    Research Associate

    82-044-550-4725
  • CHUN, Eunkyung

    Research Associate

    82-044-550-4725
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