An empirical strategy for applying VAR model to the analysis of macroeconomic responses. (11th February 2011)

• Record Type: Journal Article
• Authors: Park, Namkyu; Jeong, Dongbin
• Is Part Of: International journal of innovation and learning. Volume 9:Number 2(2011)
• Page Start: 163
• Page End: 183
• Publication Date: 2011-02-11
• Subjects: innovation in the learning process of business cycle analysis -- cointegration test -- vector autoregression modelling -- forecast error variance decomposition -- learning in macroeconomic impulse response analysis; Knowledge management -- Periodicals; Learning -- Periodicals; Diffusion of innovations -- Periodicals; 006.33
• Languages: English
• ISSNs: 1471-8197

Abstract

The analysis of business cycle performed in this paper is based on the past 24 years' macroeconomic data in Korea. The three major economic variables – gross domestic product, consumer price index, and exchange rate – have been considered for the Korean business cycle analysis using vector autoregression (VAR) model. Some empirical strategies for the analysis are also suggested for the purpose of building an appropriate VAR model based on the real market and global economic areas. Using the VAR model, macroeconomic responses to the three variable shocks were investigated using the historical data in Korea.