An Analysis on the Characteristics of Recent Business Cycles (in Korean)

In this paper we investigate two features of interest in Korean business cycles after the financial crisis of 1997. These are the persistent deviation of the cyclical component of the coincident composite index (henceforth CCI) from its long-run trend, and the shortening of the duration of upturns and slowdowns. First, the divergence of the cyclical component of the CCI from the long-run trend after August 2000 appears only when the Phase Average Trend (PAT) method is used. The main reason for the divergence is the sudden decline in the trend growth rate after the crisis (6% → mid 4%). Second, we also applied Wilcoxon's signed rank-sum test, duration dependency test, and spectral analysis to investigate whether there has been a change in cycle length after the crisis. It was found that the cycle length of upswings and downturns in Korean growth cycles shortened after the crisis of 1997. Given that the cycles significantly shortened after the crisis, the analysis of the business cycle in real-time has become of a great concern to policy makers. Therefore, it is necessary to re-examine the business cycle indexes, as well as to pay more attention to the growth rate cycles (GRC) , which is known to have a longer lead time.