한국의 이자율 모형에서의 구조변화분석

Abstract

It is important to find the relationship of interest rate with other macroeconomic variables. However, it is difficult to find it because like the most macroeconomic model the interest model has parameter instability problem caused by structural change. In order to cover these problems structural change detection model of interest rate is developed. 3 equations are established to find various effects of other interest-related macroeconomic variables and from each equation, structural changes are found. Those structural change points are consistent with common expectation. Oil Crisis, the starting point of Economic Stabilization Policy, the starting point of capital liberalization, the starting and finishing points of Interest deregulation, Foreign Exchange Crisis are detected as important points.