은행 및 기업의 자기자본 충격이 경기변동에 미치는 영향

초록

This study constructs the model that has two types of financial accelerator mechanism. The one suggested by Bernanke, Gertler, Gilchrist(1999) works through the firm and the other suggested by Gertler, Karadi(2011) works through the bank. The effects of net worth shocks of the firm and the bank on the business cycle in the Korean economy for the period of 2003-2018 is investigated with the model. Net worth shocks are estimated with the equity share data of the money flow table announced by the Bank of Korea. The firm’s net worth shock shows the significant effect on the business cycle while the effect of the bank net worth shock is negligible. This implies that the financial acceleration mechanism of the firm is more essential than that of the bank when the empirical DSGE model is specified in the Korean economy.

키워드