2001 3
LG
< > < > I 1 1 1 2 3 3 5 II 8 1 8 2 12 3 14 III 24 1 24 2 27 3 34 IV 42 1 42 2 47 V 51 < >53
< > <I-1> 3 <III-1> (1970~1999) 25 <III-2> 10 33 <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
< > 90 10 200035,000 NASDAQ 1 2,000 10,000 (Tch Sock) 2 1/4 53% : F S Mishikin LG i
53% Gordon 2 (horical valu) S&P500 928, NASDAQ 1,528 30% 30% 320 FRBFOMC ii
iii 2002 (corrcion) ( ) 2001 15% U 2001 20013/4 90 32% 20022/4 30% 20012/4 3 01% 2001 2002 1/4 90 20024/4 U 90
GDP1% 4 GDP 06% 20% GDP1% G7 (99 ) GDP( )07% GDP 50% (GDP 1% ) : LG iv
v 5% 3~4% 3% 97 08 Coningncy Plan,
1 2000 4/4 19952/4 11% 1/4 (FRB) 213 2001 20~25% 1 2 1 03%, 1 4/4 2001 15~20% <Box I-1 > 1
Box I-1 (FRB) 2 2001 20~25% 10~18% 4/4, 1/4 4/4 4/4 2000 4/4 1999 42% 50% 4/4 2000 50% 35%, 2000, 2001 20% 50% 20% 35% 20% 2001 4/4 20~25% 15~20% 2
, 1 2,000~2,500 S&P 500 NAPM 1991 412 7 1068 <I-1> 2001 1 1) 2000 12 2000 1-03% 07% 60% -06% 11% 22% 10% 03% -13% 2) 01 05% 05% 08% -06% 03% 172 155 177 92 1 97 5 88 2 11% 06% 00% 02% 10% 02% (NAPM) 412 443 563 1068 1144 1447 : 1) 2001 2 2) 2000 11 2000 12 2 3
4 199289% 1999 21% 2000 08% 08% 50% 1995 1999 34%17 1999 6~8% < I-1> 12 10 8 6 4 2 0-2 1994 1995 1996 1997 1998 1999 2000E (%) 2000
5 1999 (FRB) 3 1, 10% 05~10%
6 12 1,, 2000 4 16 20011,600
7 57 10,,
1 2000 2001 2 19967 1001 1068 1447 26% (xpcaion) < II-1> (1985=100) 145 140 135 130 125 120 115 110 105 20005 20008 200011 20012 : Confrnc Board 8
9 2000 132 (Invnory-o- Sals raio)3/4 6 136, 32% 36% 200012 2 < II-2> : FRB
10 / / 3, 2000 1,,, NASDAQ 2000 5000 NASDAQ ( ) (walh ffc), 10
11 MSDW 200012 2001 2~3% 1 2 2001 10~10% 1/4 L,,, 1999,
12 M&A 2000 20001/4 206% -47%, (fuur mark) (FRB) IMF 2001 20~30% V U 2
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
14 2 1/4 1/4 2, 1) (warning signal) 2) (fals signal) (fals signal) < II-3> 1959 2000 7 19674/4 19874/4 1/4 53% 2 1, 3 2 2
15 90 10% (financial accoun = ) 90 90 GDP 9% 2000 15% IT IT 25% IT (pric/arnings raio) (random walk) (saionary)
(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
(discoun ra), P = j= 1 1 1 + 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
40% S&P 500 2000 2 928 20002 12399 29%(log ) 30% NASDAQ 20003 PER 186 PER / NASDAQ 20003 05% NASDAQ 2000 PER70, S&P500 NASDAQ 1528 4 3 3000 30% 4 NADAQ S&P500 10 NASDAQ S&P500 NASDAQ S&P500 1528 S&P500 NASDAQ 18
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
VAR (condiional forcas),, < II-5> 2002 ( ) 2/4 3/4 < II-5> V < II-5> 1990 32% 20002/4 20002/4 8 U 20
21, 2/4 4/4 3 2001 01% 2 20021/4 L 90
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&P500 10 3 (n walh) MLE(Maximum Liklihood 22
Esimaor) β Lad Tim1 5% Probi α β 1 β 2 β 3 β 4 : 1959 1/4~2000 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
24 III 1 GDP 45%(1999) 21%(1999) <III-1>1970 G-7 GDP Hodrick-Prsco Filr <III-1> G-7 G-7 053
<III-1> (1970~1999) 100 034 030 045 009 012 054 074 068 034 100 066 066 041 018 055 045 067 030 066 100 058 056 020 043 056 062 045 066 058 100 026 021 041 040 077 009 041 056 026 100 028 038 039 040 012 018 020 021 028 100 035 023 031 054 055 043 041 038 035 100 066 071 074 045 056 040 039 023 066 100 068 068 067 062 077 040 031 071 068 100 : IFS 074 G7 040 <III-1> (, ) (040) G-7 060-25
< III-1> G-7 G-7 World Componn <III-1> G-7 G-7 035 023 EU 26
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
28 1% G-7 GDP10 022~063% 3 4 G-7 GDP 67%(99), 8%(99),, 35%(99), GDP1% 10 083%GDP 3, 4 4 4 G-7
< III-2> GDP (1%) 29
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 1 + + 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
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 1 + 1 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
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
1% 6% 3% 10 GDP (70~99) <III-2> 10 1852 1392 870 1554 2547 1331 1115 074 039 045 056 066 040 023 : GDP 1% GDP 10 100 GDP, 2 3 10 (10 08%) World Propagaion 33
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% 34 70 15 13%(99) GDP 1% GDP (1%) (15) (013, 99) 020%
, < III-3> GDP1% GDP 3 08% 3 6 GDP < III-3> GDP (1%) 35
< III-3> GDP (1%) 36
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 1 1 1 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 3 3 3 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
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) 002 053 003 (000) (063) (000) 005 ) 005( ) 120( (000) (000) (041) (000) 003 104 012 039 (000) (026) (005) (000) 003 013 034 039 (000) (000) (000) (005) (001) 004 032 069 020 031 (000) (000) (001) (002) (014) 005 186 080 043 028 (000) (020) 002 046 (000) (000) 010 175 (000) (006) (077) (037) 002 020 012 001 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)
39 Propagaion, < III-3> GDP 1% ( )2 23% 3 6 ( ) 2 28% 3 1%, 4 15% ( ) 2 55, 3 58 2 3,
40 < III-3> 2 24% 3 08%,, (profi opporuniy) (crdi consrains) (agncy cos),
41 < III-3> 2 ( ) GDP 2 GNI GDP < III-3> 3 FRB 4/4 GDP 2~25% 4/4 ( )35% FRB 1~15%p,
42 IV 1, Humpag(2000) Humpag(2000) < IV-1>80 < IV-2>
< IV-1> : 1980~99, 023 < IV-2> : 1980~99 43
, 1980 G-7 (, ) <IV-1>80 G-7-020 035 020 G-7 06 036 <IV-1> G-7 ( ) 100 040 048 027 027 019 042 061 040 100 053 023 026 010 036 037 048 053 100 034 025 010 042 043 027 023 034 100 025 007 044 034 027 026 025 025 100 035 040 037 019 010 010 007 035 100 020 022 042 036 042 044 040 020 100 060 061 037 043 034 037 022 060 100 44
45 (synchronizaion) < IV-3> 12 (moving avrag) 90 99 08, < IV-3>
IV-4,,,, 5 1% VAR- (Cholski facorizaion),,,, 98 20004 (liklihood raio s) 5 < IV-4> (1%),,, < IV-4> 98 (1%p) 05%p 04%p (198710 22% ) 46
(duraion) Fd- Back (2000) 1% 018%, GDP014%, 065% (2000),,, GDP (vcor rror corrcion) 2 120 GDP125% 0% 47
48,, EU -EU 1990 Saf Havn < IV-5>/ / 2001
< IV-5> / / (snsiiviy) (KRW/USD) = β (JPN/USD) + ε β 120 (moving avrag) 1995 200139 (UBC) 1 / / < IV-6> / 49
/ / + / ( KOW/USD = KOW/JPN JPN/USD ) / 100% // / / / < IV-6> / / 150 14 140 130 120 110 100 90 80 / () / () 13 12 11 10 9 8 70 1998 1999 2000 2001 7 / / 50
51 V 1990 3% 3/4 V 20% U (sof landing) 2000 50% 20~25%, 22%,
52, 3 6, 2001
< > 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