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Are Korean Recessions affected by Oil Price Shocks? (in Korean)

Author

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  • Kwon Sik Kim

    (Korea Center for International Finance)

Abstract

This paper investigates turning points of Korean business cycles and whether or not Korean recession phases are affected by oil price shocks, using the univariate 2-state regime switching model with t-distribution. Three broad conclusions are supported by the analysis presented below. First, the periods from February 2006 to August 2006 and from February 2008 to January 2009 are more likely recessions. Second, recession dates that were directly influenced by the oil increase shocks were in the early 1980s, 1990s, 2000s, 2006s and 2008s as well as at the beginning of the period from 1996 to 1997. Third, I find that the impact of oil price increase shocks on recession phases is larger than that on boom regimes. The above empirical results reflect that Korean recessions might be very related to oil price shocks.

Suggested Citation

  • Kwon Sik Kim, 2011. "Are Korean Recessions affected by Oil Price Shocks? (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 17(2), pages 90-123, June.
    • Handle: RePEc:bok:journl:v:17:y:2011:i:2:p:90-123
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    Cited by:

    1. Jihoon Lee & Hong Chong Cho, 2021. "Impact of Structural Oil Price Shock Factors on the Gasoline Market and Macroeconomy in South Korea," Sustainability, MDPI, vol. 13(4), pages 1-23, February.

    More about this item

    Keywords

    Turning Points; Business cycle asymmetries; Recession Index; Regime Switching Model; Oil price Shocks;
    All these keywords.

    JEL classification:

    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • Q43 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Energy and the Macroeconomy

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