소규모 개방경제 하에서 실질환율 동학 분석

An Analysis of Real Exchange Rate Dynamics in a Small Open Economy

Purpose - The purpose of this paper is to investigate the Balassa-Samuelson effect of tradable sector technology shocks on the Korean real exchange rate using dynamic stochastic general equilibrium model. Design/Methodology/Approach To do this;the two sectors-tradable and nontradable sector-and small open economy model have been incorporated with the price rigidity. After constructing the model and calibration using the historical data;we analyze the impulse response function and variance decomposition analysis whether there exists the Balassa-Samuelson effect. Findings The main conclusions are as follows. First;when the technology shock happens in tradable sector;the impulse response functions show the dynamics corresponding to the model’ expectation. This means that the Balassa-Samuelson effect exists in Korean economy. Second;the variance decomposition results show that the tradable sector technology shock explains the forecast error variance of nontradable inflation. Furthermore;the model’s performance is stable and robust resulting from robustness analysis. Research Implications Our results imply that the Balassa-Samuelson effect holds in the Korean economy whether or not considering the technology shock’s persistence. However;for the convincing judgement;there need more investigations including capital accumulation;labor mobility and international consumption risk sharing.