Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/316565 
Authors: 
Year of Publication: 
2019
Citation: 
[Journal:] East Asian Economic Review (EAER) [ISSN:] 2508-1667 [Volume:] 23 [Issue:] 4 [Year:] 2019 [Pages:] 409-427
Publisher: 
Korea Institute for International Economic Policy (KIEP), Sejong-si
Abstract: 
This paper sets up a new Keynesian model with external habit to explore the role of each shock over business cycles in Korea. The estimated model via maximum likelihood shows that the productivity shock plays a pivotal role in explaining the output variations before and after the financial crisis since mid-1970s. It also shows that the model with external habit is more successful in explaining the business cycles in Korea after the Asian financial crisis than the model without habit. The monetary policy shock which dominates by accounting for more than 70 percent of the unconditional variance of the inflation rate before the financial crisis is less important in the inflation rate fluctuations after the financial crisis. This partly reflects the regime change of the monetary policy to the inflation targeting rule after the financial crisis.
Subjects: 
Business Cycles
Maximum Likelihood Estimation
Sticky Price
Habit
Korea
JEL: 
E21
E32
E52
Persistent Identifier of the first edition: 
Creative Commons License: 
cc-by Logo
Document Type: 
Article

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