豫測하지 못한 通貨量變動과 景氣變動

Unanticpated Money Growth and the Business Cycle in the Korean Economy

The hypothesis that forms the basis of this empirical study is that real output fluctuations are triggered by unanticipated monetary shocks. This hypothesis is explicit in equilibrium models of business cycle, such as those of Lucas(1972), Sargent and Wallace(1975), and Barro(1976) and empirically accepted in Barro(1977, 1978, 1980)) for the U.S. economy. However, only a study has been done by Yoon(1981) to apply the hypothesis to the Korean economy. In order to test the hypothesis empirically, first of all, a simple rational expectation monetary model was specified and unanticipated. money growth-actual money growth less the expected rate of inflation-was measured. In hypothesizing the expected rate of inflation in the Korean economy, where markets, knowledge of economic theory, and information are imperfect it seems appropriate to use a simplified approach to expectation formation. Accordingly, a simple approach was used, in which in lation was assumed to be predicted directly by the past inflation as in the well-known adaptive expectations with full adjustments to errors. A second alternative was also investigated, in which money growth was assumed to depend on previou:a values of money growth and the expected rate of inflation was substituted for the measure of anticipated money growth. Over the 1968-1981 period, the contemporaneous value of unanticipated movements in money turned out to have effects that were significantly positive on real GNP-real economic variable in the focus of this study. Furthermore the persistent real output effects of lagged unanticpated monetary shocks could not be rejected by F-tests. Judged by these emprical results, the hypothesis that unanticipated monetary shocks and accelerator effects had generated business cycle during the estimation period was acceptable to be significant in the Korean economy. Although the simplification of expectation formation and model specification presented some problems, this study would provide an implication that by increasing monetary stability, government can reduce real aggregate variability and thus, increase welfare.