The price level in Korea has been affected by a few great interventions which were due to the government policies and the foreign factors. From Jan. 1965 to Dec. 1980, four big shocks could be clearly observed on the Wholesale Price Index (W.P.I.), which were caused by the rises in oil price and changes in the foreign exchange rate.
The purpose of this thesis is to investigate the nature of the shocks and their causalities to the general price level. The Intervention Analysis technique was used to see the effects of the shocks to the W.P.I., and the modified identification method of the Multiple Input Intervention model was suggested.
It was found that the effects of the first oil price hike in Dec. 1973 and the change in the foreign exchange rate in Jan. 1980 to the W.P.I. were similar. The first foreign exchange shock had an oscillating effect on the W.P.I. with a second tide of foreign effects lagged by three months. In addition, the monthly change rate of the W.P.I. was 0.71% on the average in the pre-intervention period and it followed the MA(1) process with alternatively damping weights.
우리나라 物價는 經濟外的인 要因에 의해 크게 영향 받은 것 처럼 보인다. 本 硏究는 이 衝擊의 性質과 都賣物價指數에 미친 영향을 分析하기 위해서 간섭영향 분석을 適用하였다.
간섭영향 분석의 效果的인 利用을 위해서 修正된 模型確立 節次를 提案했다.
간섭영향 분석을 위해서 物價水準을 時系列로 把握하고 外部의 영향을 衝擊函數로 表示해서 單純干涉模型을 使用했다.
分析의 結果, 物價에 미친 外部衝擊의 크기와 種類 그리고 動的衝擊過程을 알 수 있었으며, 충격이 미치기 전의 都賣物價指數時系列의 性質을 附加的으로 알 수 있었다.
좀 더 나은 豫測을 위해서는 反復的으로 發生하는 충격에 의한 學習效果를 考慮하고, 多重入力干涉模型을 使用해서 因果關係를 表示하는 것이 效果的일 것이다.
