A Structural Change in the Trend and Cycle in Korea

37 Pages Posted: 14 Nov 2019

See all articles by Nam Gang Lee

Nam Gang Lee

Bank of Korea - Economic Research Institute

Byoung Hoon Seok

Ohio State University (OSU) - Economics and International Studies

Date Written: November 13, 2019

Abstract

We develop a new identification approach based on the regression of consumption on output to identify a structural break in business cycles. Using this method, we find that a structural change in the trend and cycle in Korea occurred in 1993. To explain these, we estimate the parameters of the productivity process in Korea, using data on Solow residuals. Our estimates show that the relative importance of trend growth shocks in the post-break period increased by a factor of 2.56 compared to that in the pre-break period.

Keywords: Structural change, Consumption volatility, Trend growth shocks

JEL Classification: E32, F44

Suggested Citation

Lee, Nam Gang and Seok, Byoung Hoon, A Structural Change in the Trend and Cycle in Korea (November 13, 2019). Bank of Korea WP 2019-26. Available at SSRN: https://ssrn.com/abstract=3485998 or http://dx.doi.org/10.2139/ssrn.3485998

Nam Gang Lee (Contact Author)

Bank of Korea - Economic Research Institute ( email )

110, 3-Ga, Namdaemunno, Jung-Gu
Seoul 100-794
Korea, Republic of (South Korea)

Byoung Hoon Seok

Ohio State University (OSU) - Economics and International Studies ( email )

410 Arps Hall
1945 N. High St.
Columbus, OH 43210
United States
1-614-292-1020 (Phone)
1-614-292-3906 (Fax)

HOME PAGE: http://sites.google.com/site/byounghoonseok/

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