국가 경제(정책) 불확실성의 충격-반응 효과 분석: 러시아-한국 관계를 중심으

초록

The main purpose of this article is to identify the impulse and response relationship between Russia and Korea derived from economic(policy) uncertainty. For the empirical analysis corresponding to this purpose, this article used the economic(policy) uncertainty index measured by Baker, Bloom and Davis as empirical data. As for the research timeframe concerned, empirical data has been collected for the period January 2003-2021 to cover the period of the global financial crisis. Through the Impulse Response Function(IRF) and Forecast Error Variance Decomposition(FEVD) based on the vector autoregressive model are employed in exploring the relationship between countries' economic uncertainty. The main findings of the analysis are as follows: 1) The impulse of Russian economic uncertainty varies from continent to continent, and shows high explanatory power for emerging countries in Latin America, while its impulse is low for Europe and Asia, 2) The impulse-response of the economic uncertainty between Russia and Korea showed that Korea's influence on Russia was about twice that of Russia's influence on Korea, and the magnitude of mutual influence (explanatory power) was not significant.

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