주택지표를 이용한 미국의 경기침체 예측
U.S. Recession forecasting Using Housing indicators
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초록
장단기금리차는 경기침체에 대한 높은 예측력을 보여 왔으며, 이러한 경험을 바탕으로 2019년에 장단기금리 역전현상이 나타나자 경기침체 우려가 심화되는 한편, 장단기금리차의 예측력에 대한 논쟁도 발생하고 있다. 본 연구에서는 경기침체의 예측에 장단기금리차의 유효성을 다시 확인하고, 경기와 관련성이 높은 주택지표가 대안적인 지표가 될 수 있는지 검토했다. 예측력의 비교를 위해, 1965~1980년 기간 자료에 대해 프로빗 모형을 이용하여 표본 외 예측을 수행했다. 실증분석 결과, 침체 예측에 있어 주택지표는 단기적으로 양호한 예측력을 보이며, 장단기금리차와 결합될 경우 장기적 예측력이 개선되는 결과도 보였다. 또한 장단기금리차와 주택지표를 통해 침체 진입시점을 확인할 수 있으며, 침체의 지속 여부는 주택지표를 통해 예측 가능한 것으로 파악되었다. 이를 통해, 전반적인 경기 방향성 또는 침체 관련 전망 수립 시, 주택지표와 장단기금리차를 적절히 활용할 경우 예측의 정확성을 높이고, 논거를 재점검하기에 유용할 것으로 판단된다.
Abstract
Term spread have performed excellently in predicting recession, and based on these experiences, concerns over the recession have widened with the term spread reversal in 2019. However, controversy continues over the predictive power of term spread. In this study, we reviewed the importance of term spread differentials in economic downturns and examined whether there are alternative indicators focusing on housing indicators that are economically highly relevant. In order to compare the predictive power, we performed out of sample prediction using a Probit model using data from 1965 to 1980. As a result of the empirical analysis, the housing index is shown to perform excellently in the short-term, and when combined with the term spread, show improved long-term forecasting power. In addition, term spread differentials are useful for predicting when the economy is entering a recession, and housing indicators can confirm whether the recession period persists. In this way, the use of housing indicators and term spread differentials is expected to be useful for improving the accuracy of forecasts and double-checking the arguments when establishing the overall economic direction or economic downturn.
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