A Structural Change in the Trend and Cycle in Korea

Nam Gang Lee () and Byoung Hoon Seok
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Nam Gang Lee: Bank of Korea

No 2019-26, Working Papers from Economic Research Institute, Bank of Korea

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 (search for similar items in EconPapers)
JEL-codes: E32 F44 (search for similar items in EconPapers)
Pages: 41 pages
Date: 2019-11-13
New Economics Papers: this item is included in nep-mac and nep-ore
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:bok:wpaper:1926

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