VEC 모형에 기초한 한일 경제의 상호관계 분석

An Analysis of Interrelations between Korea and Japan: Evidence from a Structural VEC Model

We investigate the dynamic interrelations between Korean economy and Japanese economy. We set up a small open economy model to derive the purchasing power parity, the interest rate parity, the Fisher inflation parity, and an output gap relation. They are used as restrictions on the cointegration space of a structural vector error correction model. We then employ generalized impulse response analysis to assess the dynamic effects of shocks in output and interest rates from Japan. Generalized impulse response functions reveal that there are significant spillover effects of shocks to the Japan economy on Korea.