한국과 일본에서의 경제활동과 원유가간의 비대칭반응 분석

Asymmetric Response of Economic Activity from Oil Price Changes in Korea and Japan

This paper investigates whether the industrial production in Korea and Japan is asymmetrically affected by the oil price changes and oil shocks in recent years almost recovered from prolonged economic depressions. As the index of industrial production and crude oil price have a unit root respectively the Johansen cointegration tests are widely performed to find bivariate or multivariate cointegration relations. Unlike previous studies one multivariate cointegration is found for Korean case together with exchange rates and also one multivariate cointegration for Japanese case together with exchange rate and unemployment. No other cointegration is revealed with whatsoever variables including financial variables as often discussed in earlier studies. Using error correction model as a prototype several variables are added for capturing asymmetric effects. Those are oil price changes positive and negative SOPI and NOPI. SOPI didn t work with Korean and Japanese data. However NOPI turned out to be very effective in capturing asymmetric negative effect in both cases. Though the results are not consistent for entire periods for rather recent stable sub-periods the estimated elasticities are -0.15 for Korean case and -0.7 for Japan case. Additionally Korean industrial production seems to be asymmetrically affected by usual oil price changes. Despite all the similarities of energy related institutions and practices between Korea and Japan all these different results might be due to the difference in the efficient use of oil in Korea and Japan. The findings of this study also implies that more active policy is needed in the part of Korean government to improve energy efficiency.