韓國의 輸出과 輸入 사이에 共積分關係가 存在하는가?
Are Korean Exports and Imports Cointegrated?
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초록
본 연구는 1980: 1～2008: 3 동안 한국의 실질수출과 실질수입의 분기별 자료를 사용하여 두 변수간 장기균형 즉 공적분관계의 존재유무를 분석한다. 분석방법은 ADF 단위근검정과 Engle-Granger의 회귀오차에 기초한 두 단계 공적분방법과 Johansen의 공적분기법을 사용한다. 더 나아가 분석기간 동안 다양한 경제적 충격들이 이들의 장기관계에 구조적 변화를 초래할 수 있기 때문에 시계열자료의 단위근검정과 공적분검정에 구조적 변화를 허용하는 Perron과 Gregory-Hansen의 방법을 사용하여 구조적 단절유무와 함께 구조적 변화가 수출-수입의 공적분관계에 영향을 미치는지를 분석한다. 분석결과는 구조적 변화의 허용유무와 관계없이 우리나라의 수출과 수입 사이에 공적분관계가 없다는 귀무가설이 기각되지 않는다. 이러한 결과의 정책적 의미는 한국이 기간간 예산제약을 위반하거나 잘못된 정책이나 시장의 왜곡으로 해석할 수 있을 것이다. 그러나 분석기간 동안 한국경제는 중화학공업, IT 관련산업 등에 대한 집중적인 투자로 인하여 기술적 충격을 경험하고 있다. 이는 생산성 충격으로 연결되어 한국경제와 세계경제사이에 존재하는 생산성 갭이 수출과 수입 사이에 장기균형관계가 성립하지 않은 한 원인으로 해석될 수 있을 것이다.
Abstract
The purpose of this study is to investigate whether there is a long-run relationship between real exports and real imports for Korea during the period 1980:1～2008:3. The methodologies adopted in this study are Perron's unit root tests and Gregory-Hansen's cointegration techniques that allow for endogenously determined structural breaks as well as the standard ADF unit root test and Engle-Granger residual-based two-step method and Johansen cointegration technique in the absence of structural breaks. The empirical findings indicate that the null hypothesis of no long-run equilibrium relationship between Korean real exports and real imports can not be rejected with and without structural breaks. The policy implications of this findings are that Korea violates her intertemporal budget constrains or, more importantly, there may be either policy distortions or the productivity gap between the Korean economy and the rest of the world, implying a permanent technological shocks to the Korean economy.
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