남덕우 교수

This paper provides new evidence in support of the idea that bouts of optimism and pessimism drive much of US business cycles. In particular, we begin by using sign-restriction based identification schemes to isolate innovations in optimism or pessimism and we document the extent to which such episodes explain macroeconomic fluctuations. We then examine the link between these identified mood shocks and subsequent developments in fundamentals using alternative identification schemes (i.e., varian

Abstract This paper provides new evidence that bouts of optimism and pessimism are an important source of U.S. business cycles, using the identification schemes based on sign restrictions. We document that identified optimism and pessimism shocks account for about 30% of U.S. business‐cycle fluctuations in hours and output. In addition, our empirical findings are consistent with the intensive‐ and extensive‐margin adjustments in the U.S. labor market over business cycles, providing further suppo

This paper provides new evidence in support of the idea that bouts of optimism and pessimism drive much of US business cycles. In particular, we begin by using sign-restriction based identification schemes to isolate innovations in optimism or pessimism and we document the extent to which such episodes explain macroeconomic fluctuations. We then examine the link between these identified mood shocks and subsequent developments in fundamentals using alternative identification schemes (i.e., varian

This paper investigates the roles of the nominal exchange rate and relative prices in restoring purchasing power parity (PPP) by estimating their dynamics with a bivariate threshold vector error correction model. Our empirical results suggest a threshold cointegrating relationship between the nominal exchange rate and relative prices. However, these two variables play different roles in restoring PPP. The nominal exchange rate adjusts to restore PPP only outside the threshold band. Within the ba

The terms of trade and the real exchange rate of the US appreciate when the US labor productivity increases relative to the rest of the world. This finding is at odds with predictions from standard international macroeconomic models. In this paper, we find that incorporating news shocks to total factor productivity (TFP) in an otherwise standard dynamic stochastic general equilibrium (DSGE) model with variable capital utilization can help the model replicate the above empirical finding. Labor pr

In this paper, we find that expected (news) and unexpected (contemporaneous) components of productivity changes have opposite effects on the US real exchange rate. Following Barsky and Sims' (2010) identification method, we decompose US total factor productivity (TFP) into news and contemporaneous productivity changes. The US real exchange rate appreciates following a favorable news shock to TFP, while it depreciates in response to a positive contemporaneous shock. In addition, the identified ne

Abstract The US real exchange rate and terms of trade have been found to appreciate when US labour productivity increases relative to the rest of the world. This finding is at odds with predictions from standard international macroeconomic models. In this paper, we find that incorporating news shocks to total factor productivity (TFP) in an otherwise standard open‐economy sticky‐price dynamic stochastic general equilibrium (DSGE) model with variable capital utilization can help the model replica

본 연구는 Christiano et al.(2011)에서 소개된 소규모 개방경제 동태적 확률일반균형 모형(a small open economy dynamic stochastic general equilibrium(DSGE) model)을 미국 통화정책이 한국 경제에 미치는 영향을 분석하기 위한 틀로 제시하고, 2000년 1분기부터 2017년 4분기까지의 한국과 미국 데이터를 이용하여 추정하였다. 본 모형의 추정 결과로 얻은 모형의 파라미터들의 값들(estimated structural parameter values)은 기존 연구들의 추정 값들과 유사하며, 미국과 국내 통화충격을 포함한 추정된 모형의 충격들(estimated structural shocks)은 직관적으로 설명되는 거시경제변수들(예를 들어, 국내총생산, 소비, 노동시간, 실질환율, 순수출)의 충격반응함수들을 도출하는 것으로 확인되었다.

The interaction between the exchange rate regime, trade firms' price-setting behavior, and exchange rate pass-through (ERPT) is an important topic in international economics. This paper studies this using a goods-level dataset of US-China trade prices collected by the US Bureau of Labor Statistics. We document that the duration of US-China trade prices has declined almost 30% since China abandoned its hard peg to the US dollar in June 2005. A benchmark menu cost model that is calibrated to the d

The interaction between the exchange rate regime, trade firms' price-setting behavior, and exchange rate pass-through (ERPT) is an important topic in international economics. This paper studies this using a goods-level dataset of US-China trade prices collected by the US Bureau of Labor Statistics. We document that the duration of US-China trade prices has declined almost 30% since China abandoned its hard peg to the US dollar in June 2005. A benchmark menu cost model that is calibrated to the d

This paper studies the eect of news shocks about the future technology level and performs the welfare-based policy evaluation of real exchange rate stabilization in a two-country open economy model. When prices of consumption goods across countries are sticky in the local currency, the consumption-based real exchange rate moves closely with the nominal exchange rate whose movements re‡ect changes in expectations of future fundamentals caused by news about the future. Consequently, the movement o