可變 이자율 하에서의 經常收支 最適化 模型의 평가:한국의 경우
Testing a Present-value Model of the Current Account with Flexible Interest Rate: Evidence from Korea
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초록
본 연구는 전형적인 소규모 개방경제라 할 수 있는 한국의 1977~2008년 간 분기별 자료를 대상으로 최적화에 기초한 경상수지 모형의 타당성에 대한 현재가치 검정을 하였다. 특히 한국이 소규모 개방경제임을 감안해 세계이자율 변화 효과를 추가하였는데, 이를 위해 교역재와 비교역재를 구별하고 시간가변적 이자율을 허용하는 다기간 모형을 이용하였다. 세계이자율 변화를 고려한 모형의 타당성을 평가하기 위해 실증분석에서는 이자율 변화를 무시한 모형도 함께 검정하였다. 현재가치 모형이 추정모형의 계수에 부과하는 제약을 검정하고 분산비교 검정을 시행한 결과 경상수지에 관한 현재가치 모형은 한국의 경상수지 데이터에 의해 지지받는 것으로 나타났으며, 특히 세계이자율의 가변성을 허용하는 확장된 모형이 소규모개방경제인 한국의 특성을 보다 잘 설명하는 것으로 나타났다.
Abstract
An intertemporal model is used to test whether it accounts for the evolution of the Korean current account over the period extending from 1977 to 2008. Especially, the restrictions from the theoretical model are subjected to present value tests. The intertemporal model presented here takes into account the effect on current account of the change of the world real interest rate in a small open economy. Evidence shows that the intertemporal model including the interest rate not only pass the statistical tests but also perform better than the traditional model. Furthermore the extended model improves the fit of the volatility of current account.
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