This study analyzes the overall and time-varying effects of global and domestic uncertainty on the Korean economy by estimating constant parameter and time-varying parameter vector autoregressive models. Global and Korea-specific uncertainty are measured using the method proposed by Mumtaz and Theodoridis (2017). A rise in both the uncertainty measures has an adverse impact on the Korean economy by lowering stock market returns and output growth, and by creating inflation caused by currency depreciation. Quantitatively, the domestic uncertainty shock exercises a larger effect on the Korean economy than the global uncertainty shock, as the former uncertainty shock accounts for about one-fifth of output variation and the latter accounts for about one-tenth. Regarding time-varying effects, substantial increases in domestic uncertainty during the Asian Financial Crisis and global uncertainty during the Global Financial Crisis explain a significant part of macroeconomic fluctuations in Korea during those periods. This is because of the increased volatility of uncertainty shocks during these periods, rather than a structural change in the way these shocks affect the economy.

本研究通过估计常数参数和时变参数向量自回归模型来分析全球和国内不确定性对韩国经济的整体和时变影响。使用 Mumtaz 和 Theodoridis (2017) 提出的方法测量全球和韩国特定的不确定性。两种不确定性措施的增加都会降低股市回报和产出增长，并通过货币贬值造成通货膨胀，从而对韩国经济产生不利影响。从数量上看，国内不确定性冲击对韩国经济的影响大于全球不确定性冲击，前者的不确定性冲击约占产出变化的五分之一，后者约占十分之一。关于时变效应，亚洲金融危机期间国内不确定性的大幅增加和全球金融危机期间全球不确定性的显着增加解释了这些时期韩国宏观经济波动的重要部分。这是因为在这些时期不确定性冲击的波动性增加，而不是这些冲击影响经济的方式发生结构性变化。