서강대학교

초록/요약

This paper examined the slowly diffused process of technical innovation in the Korean economy using the KOSPI (Korean Stock Market Prices Index) and TFP (total factor productivity) over the period from January 1980 to March 2003. In particular, I presented two orthogonalized moving average representation for these variables: one based on an impact restriction and the other one based on a long run restriction. I then examined the correlation between the innovations in TFP and the innovation in KOSPI which is contemporaneously orthogonal to TFP. I found this correlation to be 0.68 with the all data covering all period and to be 0.79 with the data covering post 1990''s period. This indicate that permanent changes in productivity growth are proceeded by stock market price well as time goes by. More specifically, the dynamics associated with the shock -which by construction is an innovation in stock prices which contemporaneously orthogonal to TFP- seems to permanently affect TFP-has essentially no impact effect on TFP but has a substantial effect on KOSPI. On the other hand, these results suggest that contains some information about future TFP growth which is instantaneously and positively reflected in stock price. In conclusion, they suggest that permanent changes in TFP are first reflected in stock prices to some degrees before they actually increase productive capacity, which means slowly diffused process of technical innovation can be accepted especially in post 1990''s period. I also show that this shock can cause a boom in consumption, investment.