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[ Article ] | |
Seoul Journal of Economics - Vol. 24, No. 1, pp. 1-20 | |
Abbreviation: SJE | |
ISSN: 1225-0279 (Print) | |
Print publication date 28 Feb 2011 | |
Received 14 Jul 2010 Revised 02 Nov 2010 Accepted 09 Nov 2010 | |
International Macroeconomic Fluctuations in Korea | |
Soyoung Kim
| |
Professor, Department of Economics, Seoul National University, San 56-1, Sillim-Dong, Gwanak-Gu, Seoul 151-746, Korea, Tel: +82-2-880-2689, Fax: +82-2-886-4231 (soyoungkim@snu.ac.kr) | |
Funding Information ▼ | |
JEL Classification: F4 |
This paper examines international macroeconomic fluctuations in Korea by focusing on the sources of fluctuations in key international macro variables, such as cross-country output differential, real exchange rate, and trade balance and international transmission of key structural shocks. These structural shocks include country-specific supply, demand, and nominal shocks. A structural VAR model with long-run restrictions (that are consistent with many theoretical models) is constructed to investigate these issues. The main findings are: (1) supply shocks explain most of the fluctuations in cross-country output differential; (2) all three types of shocks play a non-negligible role in explaining fluctuations in real exchange rate and trade balance; and (3) demand and supply shocks generate opposite signs of correlation between trade balance and real exchange rate.
Keywords: Structural VAR, International macroeconomic fluctuations, Output differential, Real exchange rate, Trade balance |
This work was supported by the Korea Research Foundation Grant funded by the Korean Government (MOEHRD) (KRF-2007-327-B00112).
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