금융위기하에서 한국과 주요 선진국간의 국제적 경기변동성 추정

• Published in: 무역연구 Vol. 12; no. 4; pp. 333 - 365
• Main Author: 이경희(Kyung-Hee Lee), 김경수(Kyung-Soo Kim)
• Format: Journal Article
• Language: Korean
• Published: 한국무역연구원 30.08.2016; The Korea International Trade Research Institute
• Subjects: 무역학; CUSUM; Structural Changes; Volatility; Crisis
• ISSN: 1738-8112; 2384-1958

This study examined the structural changes in volatility in the international business cycles using the real GDP during financial crises within the 1971-2016 period. The coefficients did not appear to reflect unstable structural changes during a financial crisis as seen in Chow tests. On the other hand, the 1-Step tests showed stable and/or unstable coefficients except in Canada and Korea, but these were persistently stable in the N-Step tests except for Germany and Japan where such coefficients were unstable. In the CUSUM tests, the coefficients were stable over the periods. The CUSUMSQ tests showed stable coefficients in the country except Korea and UK. Korea exhibited higher regime switching volatility probability which suggests that significant changes in SWARCH model may have to be made. Transition probability showed the highest duration in the low regime in Canada. The MS-VAR models demonstrated significant simultaneous structural changes in volatility in international economic cycles as a result of the market crash. Korea was significantly affected and transmitted by the real GDP of the countries through the Asia and Global financial crisis. Therefore, we found structural changes in volatility in the international business cycles as a result of simultaneous symmetric or asymmetric shocks between Korea and major developed countries and we confirmed that the high volatility (contraction) regime coincided with the financial crises. KCI Citation Count: 4