국면전환모형을 이용한 제조업 경기변동 분석

초록

This study analyzes the business cycles of the manufacturing, chemical, steel, and semiconductor industries in Korea using an endogenous regime- switching model. We extract the cyclical component from the seasonally adjusted production index and apply the endogenous regime-switching model to the extracted cyclical component. We then compare and analyze the results obtained from the endogenous regime-switching model with those obtained using traditional methods, and draw implications. The empirical analysis reveals that the chemical and semiconductor industries show results similar to those obtained by traditional methods, with the regime determined based on a zero cyclical component. In contrast, the manufacturing and steel industries, which experienced relatively large declines in business cycles, the model determines the low regime parsimoniously compared to the traditional method. This indicates that the endogenous regime-switching model can be useful in detecting and analyzing relatively severe crises. The fact that the troughs of the extracted latent factors preceded the troughs of the cyclical components indicates that the endogenous regime-switching model can provide useful information for determining and predicting business cycle regimes.

키워드