- P-ISSN 1738-656X
한국개발연구. Vol. 34, No. 4, November 2012, pp. 117-156
https://doi.org/10.23895/kdijep.2012.34.4.117
This paper decomposes and estimates trend/cyclical components of some key macro variables?GDP, inflation, and interest rate, using a simple DSGE model along with flexible trend specification. The extracted cyclical components of output and interest rate are similar to HP-filtered counterparts, despite some differences in persistence and volatility, while inflation resembles that from BK filtering. This implies that the usual practice of applying a single filtering method to the data of interest may be problematic. When the baseline model is extended to incorporate consumption habit and price indexation, habit turns out to be important in explaining the persistence of business cycles. Comparison of several alternative models shows that the usual practice of estimation of DSGE model using filtered data leads to biased results. Finally, various sensitivity analyses illustrate that (1) allowing for correlation between structural cyclical shocks and trend shocks and (2) including irregular components (in inflation rate) may deliver interesting/important implication for gap estimates.
필터링(Filtering), 추세 설정(Trend Specification), 경기순환(Business Cycles), DSGE(DSGE), 모형 평가(Model Evaluation)
C52, E32