미국 통화정책이 한국 경제에 미치는 영향 분석을 위한 소규모 개방경제 DSGE 모형 추정에 관한 연구

초록

This paper introduces a small open economy dynamic stochastic general equilibrium (DSGE) model of Christiano et al. (2011) as a policy tool to study the effects of the U.S. monetary policy on Korea’s economy, and estimates it by considering Korea and the U.S. as the home and foreign countries, respectively. Based on the data that runs from 2000:Q1 to 2017:Q4, we find that estimated parameter values are close to those reported in the literature and estimated structural shocks-for instance, domestic and foreign monetary shocks-generate the intuitive dynamics of macro aggregate variables such as GDP, consumption, hours worked, the real exchange rate and net exports.

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