실질금리 결정모형에서의 구조변화분석 Structural Change Analysis in a Real Interest Rate Model

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It is important to find equilibrium level of real interest rate for it affects real and financial sector of economy. However, it is difficult to find the equilibrium level because like the most macroeconomic model the real interest model has parameter instability problem caused by structural change and it is supported by various theories and definitions. Hence, in order to cover these problems structural change detection model of real interest rate is developed to combine the real interest rate equilibrium model and the procedure to detect structural change points. 3 equations are established to find various effects of other interest-related macroeconomic variable and from each equation, structural changes are found. Those structural change points are consistent with common expectation. Oil Crisis (December, 1978), the starting point of Economic Stabilization Policy (January,1982), the starting point of capital liberalization (January,1988), the starting and finishing points of Interest deregulation (January,1992 and December,1994), Foreign Exchange Crisis (December,1997) are detected as important points. From the equation of fisher and real effect, real interest rate level is estimated as 4.09% (October,1998) and dependent on the underlying model, it is estimated as 0%~13.56% (October,1998), so it varies so much. It is expected that this result is connected to the large scale simultaneous to detect the parameter instability in real time, so induces the flexible economic policies.
Publisher
한국경영과학회
Issue Date
2001
Citation

경영과학, Vol.18, No.1, pp.119-133

ISSN
1225-1100
URI
http://hdl.handle.net/10203/17324
Link
http://www.korms.or.kr
Appears in Collection
KGSM-Journal Papers(저널논문)
Files in This Item
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