임계자기회귀모형을 이용한 대외불균형 지속가능성에 대한 실증분석
Sustainable External Imbalance: An Empirical Investigation Using Threshold Autoregressive Models
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본 연구는 24개 OECD 국가들의 경상수지와 대외순자산에 대한 단위근 검정을 통해 대외불균형의 지속가능성을 검정하였다. 첫째, 선형의 AR 모형을 가정한 단위근 검정들에서는 거의 모든 국가들의 대외불균형 움직임이 지속가능성과는 부합하지 않는 것으로 나타났다. 둘째, 전환 AR 모형을 이용한 검정에서는 23개 국가들에서 경상수지 또는 대외순자산 조정과정에 임의보행에서 평균회귀로의 영역전환이 발생한다는 증거가 발견되었으며 이 중 12개 국가들에서는 양 시계열 모두에서 영역전환이 발견되었다. 셋째, 대외순자산의 가치평가(valuation)를 추정하여 가치평가가 라는 가설을 검정한 결과 14개 국가에서 가설이 기각되어 가치평가효과가 지속가능성 검정에 영향을 미칠 가능성이 있음을 보였다. 기술적 분석은 경상수지와 대외순자산에서 서로 일관되지 않은 영역전환이 발견된 11개 국가들 중 6개 국가들은 경상수지가 가치평가를 정확하게 반영하지 못해 검정결과가 왜곡될 가능성이 있음을 제시하였다.
Abstract
This study examines whether external imbalances of 24 OECD countries are sustainable paths by applying linear unit root tests and nonlinear unit root tests of Part and Shintani(2005) to current accounts and net-external assets. Main findings of the study are as follows. First, unit root tests assuming linear AR model show that current accounts and net-external assets are inconsistent with sustainability in the majority of the countries. Second, on the other hand, the tests using transitional-AR model find that the times series of current account or net-external asset is consistent in 23 sample countries with transition from a random walk regime to a meaning reverting regime. Third, the study estimates valuation of net-foreign asset and tests a hypothesis of valuation and show that the hypothesis is rejected in 14 countries. The descriptive analysis suggests that current account does not well reflect the valuation effect so that regime changes in current account adjustment are inconsistent with those in net-foreign asset adjustment in 6 countries. The study provides more rigorous analysis in the sense that it evaluates sustainability of external imbalances using both current account and net-foreign asset and examines the possible impact of valuation effect on the test results.
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