The Korean Journal of Economic Studies
Analysis of Business Cycle Synchronization between Korea-US, Korea-China, and Korea-Japan
Keun Yeong Lee (Sungkyunkwan University) and Nam Hyun Kim (Korea Deposit Insurance Corporation)Year 2021Vol. 69No. 4
As a result of empirical analysis using annual data and a two-phase regime switching model with time-varying coefficients of synchronization, the upwardtrend of synchronization in Korea-China is much greater than in Korea-US or Korea-Japan. Also, unlike the latter case, where the recent decline inco-movement occurs around 2010, in the former case, it appears after 2016. In the case of Korea-US and Korea-Japan, the positive correlation between eachcountry’s share of imports and exports in Korea’s total trade and the co-movement coefficient was high between 1981 and 2000, while in the caseof Korea-China, it was high between 2000 and 2019. In addition, when the total trade ratio to GDP of Korea is used, the positive correlation between them over the entire period is high regardless of the country. On the other hand, since 2010, the growth rate of US direct investment in Korea and the share of theUS in total direct investment in Korea have declined along with the probability of business cycle synchronization.