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1 2001 3

2 LG

3 < > < > I II III IV V 51 < >53

4 < > <I-1> 3 <III-1> (1970~1999) 25 <III-2> <IV-1> G-7 ( ) 44 < I-1> 4 < II-1> (1985=100) 8 < II-2> 9 < II-3> 13 < II-4> S&P500 (PER) 16 < II-5> 20 < III-1> G-7 26 < III-2> GDP (1%) 29 < III-3> GDP (1%) 35 < IV-1> 43 < IV-2> 43 < IV-3> 45 < IV-4> (1%),,, 46 < IV-5> / / 49 < IV-6> / / 50 Box I-1 (FRB) 2 Box II-1 (Rcssion Probabiliy) 22 Box III-1 G-7/KR-SVAR 30 Box III-2 US/KR-SVAR 37

5 < > ,000 NASDAQ 1 2,000 10,000 (Tch Sock) 2 1/4 53% : F S Mishikin LG i

6 53% Gordon 2 (horical valu) S&P , NASDAQ 1,528 30% 30% 320 FRBFOMC ii

7 iii 2002 (corrcion) ( ) % U / % 20022/4 30% 20012/4 3 01% / /4 U 90

8 GDP1% 4 GDP 06% 20% GDP1% G7 (99 ) GDP( )07% GDP 50% (GDP 1% ) : LG iv

9 v 5% 3~4% 3% Coningncy Plan,

10 / /4 11% 1/4 (FRB) ~25% %, 1 4/ ~20% <Box I-1 > 1

11 Box I-1 (FRB) ~25% 10~18% 4/4, 1/4 4/4 4/ / % 50% 4/ % 35%, 2000, % 50% 20% 35% 20% /4 20~25% 15~20% 2

12 , 1 2,000~2,500 S&P 500 NAPM <I-1> ) % 07% 60% -06% 11% 22% 10% 03% -13% 2) 01 05% 05% 08% -06% 03% % 06% 00% 02% 10% 02% (NAPM) : 1) )

13 % % % 08% 50% % ~8% < I-1> E (%) 2000

14 (FRB) 3 1, 10% 05~10%

15 6 12 1,, ,600

16 ,,

17 % (xpcaion) < II-1> (1985=100) : Confrnc Board 8

18 (Invnory-o- Sals raio)3/ , 32% 36% < II-2> : FRB

19 10 / / 3, ,,, NASDAQ NASDAQ ( ) (walh ffc), 10

20 11 MSDW ~3% ~10% 1/4 L,,, 1999,

21 12 M&A /4 206% -47%, (fuur mark) (FRB) IMF ~30% V U 2

22 13, (3 10 ), (Aaa Baa ), S&P500 < II-3> (Frdric S Mishkin) 1/4 53% (criical poin) 50% 50% 53% 1/4 < II-3>, 2

23 14 2 1/4 1/4 2, 1) (warning signal) 2) (fals signal) (fals signal) < II-3> / /4 1/4 53% 2 1, 3 2 2

24 % (financial accoun = ) GDP 9% % IT IT 25% IT (pric/arnings raio) (random walk) (saionary)

25 (PER) PER PER 3 < II-4>1970 S&P500 PER S&P500 PER95 99 (70) < II-4> S&P500 (PER) Gordon ( Gordon Equaion), (arning) 3 PER (nonsaionary) 16

26 (discoun ra), P = j= ρ j E + j P, ρ ( + r ), E ( )g P j + g = E 1 1 = j 1+ ρ ρ + g g E,,, (horical valu) 6% (Mhra and Prsco(1985), Wadhwani(1999), IMF(2000) ) 39%(1970 ) 17

27 40% S&P %(log ) 30% NASDAQ PER 186 PER / NASDAQ % NASDAQ 2000 PER70, S&P500 NASDAQ % 4 NADAQ S&P NASDAQ S&P500 NASDAQ S&P S&P500 NASDAQ 18

28 GDP,, (10 3 ), (Aaa - Baa ), S&P500 (Vcor Auorgrssiv Modl, VAR) VAR (Larg Macro Modl) VAR (Filardo(1999) ) (corrcion) VAR (uncondiional forcas) 30% 1/4 30% 19

29 VAR (condiional forcas),, < II-5> 2002 ( ) 2/4 3/4 < II-5> V < II-5> % 20002/ /4 8 U 20

30 21, 2/4 4/ % /4 L 90

31 Box II-1 (Rcssion Probabiliy) Confrnc Board (Composi Lading Indicaor) GDP2 (conscuiv 2-quarr dclin of GDP) NBER(Naional Burau of Economic Rsarch)BCDC(Businss Cycl Daing Commi) NBER/BCDC, 6 12,,, (rad) (broad dclin) NBER/BCDC GDP GDP ( GDP ) Nfci Modl, Lamy-Esrlla and Mishikin Modl(LEM), GDP Modl, Sock and Wason Modl(SW) (Filardo(1999) ) Probi LEM LEM (1) (0) (nonlinar) ( NBER/BCDC ) P = 1 I 2 / 2 2π, I = α + d â x ' (I -1) x Esrlla and Mishikin(1995), (10 3 ), (Moody s Baa Aaa ), S&P (n walh) MLE(Maximum Liklihood 22

32 Esimaor) β Lad Tim1 5% Probi α β 1 β 2 β 3 β 4 : /4~2000 4/4 S Louis FRB Frd DB α β ( ),,, S&P500 ( ), GDP (SW GDP ) GDP GDP (vcor auorgrssiv modl) 2 GDP GDP, 3, CPI GDP- 2001~2002 GDP GDP- GDP Esrlla- Mishikin(1995) Probi Modl GDP 23

33 24 III 1 GDP 45%(1999) 21%(1999) <III-1>1970 G-7 GDP Hodrick-Prsco Filr <III-1> G-7 G-7 053

34 <III-1> (1970~1999) : IFS 074 G7 040 <III-1> (, ) (040) G

35 < III-1> G-7 G-7 World Componn <III-1> G-7 G EU 26

36 031, 2 GDP G- 7/KR-SVAR (impuls rspons) GDP G-7/KR-SVAR G-7 GDP( ) ( ) GDP( ) (vcor auorgrssiv modl, VAR) VAR (simulanous bias) (srucural dcomposiion) III Box 3 G-7/KR-SVAR < III-2> GDP 27

37 28 1% G-7 GDP10 022~063% 3 4 G-7 GDP 67%(99), 8%(99),, 35%(99), GDP1% %GDP 3, G-7

38 < III-2> GDP (1%) 29

39 Box III-1 G-7/KR-SVAR (vcor auorgrssiv modl, VAR) Ax = C( L) x 1 + Du (II -1) x n 1 C(L)p (p-h ordr lag polynomials) n n, Dn n, u n 1 G-7 GDP ( ) 9 u D C(L) (simulanous bias) (unbiasd simaor) (consisn simaor) Brnank(1986), Sims(1986), Blanchard and Wason(1986) (srucural dcomposiion), (srucural vcor auorgrssiv modl, SVAR) (II-1) x = A C( L) x 1 1 = B ( L) x A 1 (II - 2) Du VAR u B(L)A -1 D (OLS) A -1 D (II-2) / Ó ' 1 ' ' ' 1 1 ' ' = E[ ] = A DE[ u u ] D A = A DÓ D A u 1 (II - 3) / Σ (undridnificaion problm) (,idnificaion problm) (II-3) (Cholski facorizaion) (ordring) SVAR (srucural quaion) 30

40 G-7 G-7 impac X( ), rspons Y( ) i) X X Y ii) X Y Y, Y GDP iii) X X, X x i w = α w = i γ i + β u x i i i + β w u (III- 4) w (III- 5) (III-4) GDP (x i, Sims(1980) ) u i w α i World Componn (III-5) u w GDP (wihin h currn priod) (III-5) (III-4) ( β i β w 1 ) x i α iγ j = x 1 α γ i j i i j αi + 1 α γ i i u w α γ i i u i (III- 6) (III-3) (III-1)~(III-2) 3 1/(1 α i γ i ) α i γ i < 1 1 1/(1 α i γ i ) insananous muliplir (iii) 31

41 α i γ i ( ) (iii) (III-3) α i γ j (i) (ii) γ j impac j α i rspons i j i (i)(ii) MLE(maximum liklihood simaor) α 1 α 2 α 3 α 4 α 5 α 6 α 7 α 8 β 1 γ 1 β 2 γ 2 β 3 γ 3 β 4 γ 4 β 5 γ 5 β 6 γ 6 β 7 γ 7 β 8 γ 8 β w : 1~8,,,,,,, w 2 AIC 1 2 α 5 γ 3 γ 4 (, ) (+) (β β ) Sims(1986) SVAR 32

42 1% 6% 3% 10 GDP (70~99) <III-2> : GDP 1% GDP GDP, (10 08%) World Propagaion 33

43 3 2,, GDP G-7/KR-SVAR US/KR-SVAR GDP,,,,,,, G-7/KR SVAR SVAR Box 4 US/KR-SVAR < III-3> GDP1%, GDP1% 3 08% G-7/KR 15 GDP 1% 02% %(99) GDP 1% GDP (1%) (15) (013, 99) 020%

44 , < III-3> GDP1% GDP 3 08% 3 6 GDP < III-3> GDP (1%) 35

45 < III-3> GDP (1%) 36

46 Box III-2 US/KR-SVAR G-7/KR GDP G-7/KR GDP US/KR-Macro ( ) GDP,,,,,,, 8 (SVAR) US/KR-Macro 11 ( y, i, pc, xq, imq, xp, imp, r, wq, wp, us GDP,,,,,,,,,, GDP ) y i pc xq imq xp imp r wq wp us = α 1 1 = β wq us i = δ 1 wp y = γ = κ 1 1 r u 1 xp = η = λ = µ ( xp = π = φ = φ u + α wp wp us imp r 2 i + φ u + φ pc + γ + κ 2 pc i u 2 + λ 2 imp + π 2 ) + µ (III-16) (III-17) (III-8) pc + η wp 2 wq + α wq us 3 (III- 9) r + κ + γ 3 2 wq wp ( xq wq wq + η + λ + φ + φ y wp u wq y + φ u + γ y 4 + η xp + φ 4 u wq imp (III- 7) us i xp u + φ + φ ) + φ (III-15) (III-12) imp r xq imq u u (III-13) r xq u imq (III-10) (III-11) (III-14) (III-7) GDP (III-5) (III-6) GDP (III-7) GDP (III-8) GDP (III-9) (III-10),, (III- 11) (Balassa-Samulson Thorm) 37

47 38 (III-12) GDP,, EU, (III-13) (III-14) GDP (III-4)~(III-14) MLE(Maximum Liklihood Esimaor) ( p-valu) (000) 001 (000) 003 (000) (000) (055) (000) (063) (000) 005 ) 005( ) 120( (000) (000) (041) (000) (000) (026) (005) (000) (000) (000) (000) (005) (001) (000) (000) (001) (002) (014) (000) (020) (000) (000) (000) (006) (077) (037) us us wp wp wq us wp wq r wq xq imp xp r imp wp wq r imp xp wp wq r xp imq i y r imp imq xq us wq wp xp xq pc y pc i wq i y wq pc i y u u u u u u u u u u u = = + + = + + = = = = = + = + = = 1 Sims(1986) SVAR (impuls rspons funcion)

48 39 Propagaion, < III-3> GDP 1% ( )2 23% 3 6 ( ) 2 28% 3 1%, 4 15% ( ) 2 55, ,

49 40 < III-3> 2 24% 3 08%,, (profi opporuniy) (crdi consrains) (agncy cos),

50 41 < III-3> 2 ( ) GDP 2 GNI GDP < III-3> 3 FRB 4/4 GDP 2~25% 4/4 ( )35% FRB 1~15%p,

51 42 IV 1, Humpag(2000) Humpag(2000) < IV-1>80 < IV-2>

52 < IV-1> : 1980~99, 023 < IV-2> : 1980~99 43

53 , 1980 G-7 (, ) <IV-1>80 G G <IV-1> G-7 ( )

54 45 (synchronizaion) < IV-3> 12 (moving avrag) , < IV-3>

55 IV-4,,,, 5 1% VAR- (Cholski facorizaion),,,, (liklihood raio s) 5 < IV-4> (1%),,, < IV-4> 98 (1%p) 05%p 04%p ( % ) 46

56 (duraion) Fd- Back (2000) 1% 018%, GDP014%, 065% (2000),,, GDP (vcor rror corrcion) GDP125% 0% 47

57 48,, EU -EU 1990 Saf Havn < IV-5>/ / 2001

58 < IV-5> / / (snsiiviy) (KRW/USD) = β (JPN/USD) + ε β 120 (moving avrag) (UBC) 1 / / < IV-6> / 49

59 / / + / ( KOW/USD = KOW/JPN JPN/USD ) / 100% // / / / < IV-6> / / / () / () / / 50

60 51 V % 3/4 V 20% U (sof landing) % 20~25%, 22%,

61 52, 3 6, 2001

62 < > Brnank, Bn (1989), Alrnaiv Explanaions of h Mony-Incom Corrlaion, Carngi- Rochsr Confrnc Sris on Public Policy Mhra, R and E C Prsco (1985), Th Equiy Prmium: A Puzzl, Journal of Monary Economics, Vol 15 Wadhwani, Sushil B (1999), Th US Sock Mark and h Global Economic Crisis, Naional Insiu Economic Rviw, Jan IMF(2000), World Economic Oulook, Sp Filardo, Andrw J (1999), How Rliabl Ar Rcssion Prdicion Modls?, Economics Rviw, Fdral Rsrv Bank of Kansas Ciy, 2 nd qr Esrlla, Aruro and Frdric S Mishkin (1999), Prdicing US Rcssions: Financial Variabls as Lading Indicaors, NBER Working Papr No 5379 Sims, Chrisophr A (1986), Ar Forcasing Modl Usabl for Policy Analysis?, Quarrly Rviw, Fdral Rsrv Bank of Minnapolis, Winr Blanchard, Olivr and Mark Wason (1986), Ar Businss Cycls All Alik?, Robr J Gordon, d, Th Amrican Businss Cycl Chicago: Univrsiy of Chicago Prss Humpag, Own F (2000), Forign Economic Growh and h Dollar, Economic Commnary, Fdral Rsrv Bank of Clvland, Sp 53

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