원화환율의 장기구매력평가에 관한 실증분석: 부호검정법
Test of Purchasing Power Parity for Korean Exchange Rate: Sign Unit Root Test
1
조회
0
다운로드
9
인용
0
참고문헌
키워드
초록
구매력평가관계의 성립의 여부는 국제금융이론에서 중요한 관심대상 중의 하나이다. 대표적인 실증분석 방법으로는 Dickey-Fuller류의 단위근 검정법을 사용해서 실질환율을 분석하는 것이다. 이런 검정법들은 낮은 검정력(power)과 최소자승법(Least squares method)에 기반하기 때문에 이상치(outlier)에 민감하다는 단점을 가지고 있다. 본 연구에서는 이런 단점을 보완하기 위하여 새로운 부호검정법(sign test)을 도입하였다. 부호검정법은 이상치와 정규가정을 만족하지 않는 자료의 경우에도 사용가능하도록 조건을 완화하여 낮은 검정력(power)을 향상시킨다. 본고에서는 미국, 영국, 독일, 캐나다, 그리고 일본 등 우리나라 주요 교역국들의 실증자료로 부호검정법과 기존의 Dickey-Fuller 검정의 결과를 비교분석 하였다. 분석기간은 외화위기 이후까지 포함한 전체 기간과 외환위기 이전까지의 기간으로 나누어서 검정을 시도하였으며, 분석결과 한국은 어느 국가와도 구매력평가관계가 성립되지 않았다.
Abstract
Purchasing power parity(PPP) is of interest in international finance literatures. The most popular method for testing PPP is the Dickey-Fuller(DF) test based on the ordinary least squares estimator(OLSE). The OLSE-based unit root tests, however, suffer from size distortion and power loss. We use a new sign unit root test which has simple exact null distribution and is robust to possible outliers from heavy-tailed errors. We also investigate whether PPP holds between Korea won and other currencies of important trade countries such as United States, the United Kingdom, Germany, Canada, and Japan by testing for unit roots in real exchange rates. We use Korean won as the base currency.
참고문헌 (41)
- 공재식, "한국 원화환율의 장기구매력평가관계에 관한 연구", 9(1), pp.103~129 (1998), 한국국제경영학회
- 박대근, "원-달러 환율의 장기구매력평가로부터의 이탈에 대한 실증분석", 1(1), pp.141~163 (1995), 한국국제경제학회
- 이연호, "원화의 대미달러 환율은 구매력평가설을 따르는가?" (1993)
- 모수원, "원화환율의 장기구매력평가: 정수차분과 분수차분, Long- run purchasing power parity for won-dollar exchange rate", 10 (1999), 한국국제경영학회
- "Purchasing power parity in the long run Journal of Finance", pp.57~174 (1990)
- Alder, "Deviations from purchasing power parity in the long run Journal of Finance", pp.1471~1487 (1983)
- Moshen, "Testing for long run purchasing power parity an examination of Korean won", pp.93~103 (1992)
- Campbell, "What macro economists should know about unit roots", nber macroeco(mics annual), pp.141~201 (1991)
- Campbell, B., "Exact nonparametric orthogonality and random walk tests", 77, pp.1~16 (1995)
- Cassel,G, "Abnormal deviations in international exchanges", 28, pp.413~415 (1918)
- Cheung, "Long-run purchasing power parity during the recent float Journal of International Economics"
- "Cointegration and test of purchasing power parity The Review of Economics and Statistics", pp.508~511 (1988)
- Dickey, "Distribution of the estimations for autoregressive time series with a unit root Journal of the American Statistician Association", pp.427~431 (1979)
- Edison, "Purchasing power parity in the long run Journal of Money", pp.376~387 (1987)
- Engle,R.F, "Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflations", 50, pp.987~1007 (1982)
- Frankel, "International capital mobility and crowding out in the U imperfect integration of financial markets or goods markets?", Lexington Lexington Books
- "The effects of additive outliers on tests for unit roots and cointegration Journal of Business economic statistics", pp.471~478 (1994)
- Frenkel,J.A, "Purchasing power parity:Doctrinal perspective and evidence from the 1920s", 8, pp.169~191 (1978)
- Frenkel,J.A, "The collapse of purchasing power parities during the 1970s", 16, pp.145~165 (1981)
- "The estimation and application of long memory time series models Journal of Time Series Analysis", pp.221~238
- Hakkio,C.S, "A re-examination of purchasing power parity:a multi country and multi-period study", 17, pp.265~277 (1984)
- Hegwood, N. D, "Quasi purchasing power parity", 3, pp.279~289 (1998)
- Herce, M. A, "Asymptotic theory of LAD estimation in a unit root process with finite variance errors", 12, pp.129~153 (1996)
- Huizinga,J, "An empirical investigation of the long-run behavior of real exchange rates", 27, pp.149~214 (1987)
- Levin, "Unit root tests in panel data University of California" (1993)
- Lothian, J. R,, "Real exchange rate behavior: the recent float from the perspective of the past two centuries", 104, pp.488~510 (1996)
- Lucas,A, "Unit root tests based on M estimators", 11, pp.331~346 (1995)
- Oh, K. Y, "Purchasing power parity and unit root tests using panel data", 15, pp.405~418 (1996)
- Oh, Y. J, "Robust unit root tests for seasonal and panel data" (2003), Ewha Womans University
- Papell, D. H, "Searching for stationarity:purchasing power parity under the current float", 43, pp.313~332 (1997)
- Park, "Testing for unit roots and cointegration by variable addition Advances in Econometrics", pp.107~134
- Pillips, P. C. B, "Testing for a unit root in time series regression", 75, pp.335~346 (1998)
- Roll, "Violations of purchasing power parity and their implications for efficient international commodity markets", pp.133~176 (1979)
- Sarno, L, "Policy convergence, the exchange rate mechanism and the misalignment of exchange rates. Some tests of purchasing power parity and generalized purchasing power parity", 29, pp.591~605 (1997)
- Sarno, L, "Purchasing power parity and the real exchange rate", 49(1), pp.65~105 (2002)
- Shiller, "power versus frequency of observation", pp.381~386 (1985)
- Shin, D. W, "Unit root tests for time series with outliers", 30, pp.189~197 (1996)
- So, B. S, "An invariant sign test for random walks based on recursive median adjustment", 102, pp.197~229 (2001)
- Taylor, M.P, "Purchasing power parity", 11, pp.11436~11452 (2003)
- Whitt, "The long-run behavior of the real exchange rate Journal of Money", pp.72~82 (1992)
- Zellner, "An efficient method of estinating seemingly unrelated regressions and tests for aggregation bias Journal of the American Statistical Association", pp.348~368 (1962)