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GVAR Analysis on 6 Korean Broad Regions - Bayesian Cointegration Approach (in Korean)

Author

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  • Ki-Ho Kim

    (Economic Research Team, Gyeonggi branch, The Bank of Korea)

Abstract

Understanding the relationships between output, unemployment, and price level has been one of most central interests to policy makers. There are many analysis on the relationships among 3 variables at the national level, however, the analysis at the regional level is relatively rare, especially in Korea. This paper investigates the relationships among 3 variables via GVAR model with Bayesian cointegration estimation. The impulse response analysis on 6 Korean broad regions shows; First, the responses of GRDPs of 6 regions to GRDPs shocks are all significant and the response of GRDP of region which originated GRDP shock is the largest among responses of GRDPs of regions. Second, the responses of employment rates of 6 regions to regional employment shocks are not significant in all regions. Third the responses of GRDPs of 6 regions to regional employment shocks are positive in all regions. These results implies that policies to boost employments should focus on stimulating labor market directly rather on stimulating output market.

Suggested Citation

  • Ki-Ho Kim, 2015. "GVAR Analysis on 6 Korean Broad Regions - Bayesian Cointegration Approach (in Korean)," Economic Analysis (Quarterly), Economic Research Institute, Bank of Korea, vol. 21(4), pages 97-131, December.
    • Handle: RePEc:bok:journl:v:21:y:2015:i:4:p:97-131
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    More about this item

    Keywords

    GVAR; Bayesian analysis; Cointegration; Impulse response function;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General

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