비교역재가 도입된 모형에서의 경기변동 특성 분석

Real Exchange Rate Dynamics and Non-Tradable Goods in a Small Open Economy

Purpose - This paper investigates the relationship between productivity and real exchange rate, the Balassa-Samuelson effect of tradable sector technology shocks on the real exchange rate using a DSGE model. Design/Methodology/Approach - To do this, I have set up a two sector-tradable and nontradable sectors-and a small open economy model with price rigidity. After constructing the model, the structural parameters were calibrated and estimated using historical data and the Bayesian method. The impulse response function was analyzed to determine whether there exists a relationship between productivity and real exchange rate. Findings - As a result of the simulation, after the technology shock hit in the tradable sector, the impulse response function dynamics show the decreasing real exchange rate dynamics that correspond to the theoretical expectation. This implies that there exists a relationship between productivity and the real exchange rate in the Korean economy. Second, analysis of the nontradable sector technology shock suggests that when the consumer piece level inflation decreases, the output increases while the real exchange rate increases. The model’s robustness is verified by the stable dynamics in terms of monetary shock. Research Implications - The results suggest that the New Keynesian model can help to generate the plausible dynamics in a sense that the volatility and persistence of real exchange rate are close to the that of data.