글로벌 공급망 충격의 시차적 전이 구조 분석

Analysis of the Lagged Transmission Structure of Global Supply Chain Shocks

Purpose - This paper examines the evolving transmission structure of global supply chain shocks and the dynamic impacts on key macroeconomic variables in Korea. Design/Methodology/Approach - Employing a non-parametric Lagged Transfer Entropy (LTE) framework, we capture nonlinear and lagged dependencies across variables. To enhance robustness and isolate endogenous responses, we incorporate a Random Forest regression to control for exogenous factors, including global oil prices and U.S. monetary policy rates. The empirical analysis covers monthly data from February 2003 to December 2024, with the sample divided into two structurally distinct subperiods: the GVC Deepening Phase (2003-2010) and the GVC Disruption Phase (2011-2024). Findings - Our findings reveal a marked shift in transmission dynamics. During the 2003-2010 period, characterized by financial stress, inflation and financial market variables led the response to supply chain shocks, while real activity indicators lagged. Conversely, in the post-2011 period, marked by physical disruptions such as the COVID-19 pandemic and geopolitical tensions, production and trade volume indicators responded significantly earlier, often 9-10 months ahead of the Global Supply Chain Pressure Index (GSCPI). Financial market indicators also showed early reactions, whereas inflation variables exhibited delayed and persistent responses, consistent with amplification through network and bullwhip effects. Research Implications - These results underscore the necessity of a time-sensitive and data-informed policy framework. By identifying early-responding variables, this study offers a foundation to develop a “Supply Chain Disruption Leading Index”, with direct implications for early warning systems and preemptive macroeconomic policy interventions.