우리나라 일별 데이터의 계절조정 방법 연구
Seasonal Adjustment of Korean Daily Data
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초록
COVID-19 대유행 등으로 경제 불확실성이 커지면서 경제 상황을 빠르게 파악할 필요성이 커지고 있다. 경제 상황을 조기에 파악하려면 기존의 월별, 분기별 데이터보다 일별 데이터와 같은 고빈도(high frequency) 데이터를 분석할 필요가 있다. 본 연구에서는 Ollech (2018)의 계절조정방법을 바탕으로 우리나라 고유의 명절, 공휴일 등을 감안하여 우리나라 일별 데이터에 적용할 수 있는 계절조정방법을 마련하였다. 이 방법을 우리나라 일별 데이터인 최대전력수요, 영화매출액, 고속도로통행량과 서울 지하철이 용량에 적용하여 계절조정을 실시하였다. 4개 일별 데이터의 계절조정 결과를 검토해 보면 계절조정계열이 원계열과 달리 계절 주파수에서 유의하지 않아 계절조정이 적절히 되었다고 판단된다. 일별 계절조정계열은 원계열보다 COVID-19 대유행 이후 경제 상황의 변화를 빠르게 파악하는데 유용하다. 향후 우리나라 통계작성 당국도 일별 데이터의 계절조정방법에 대한 연구를 본격화하여 우리나라에 적합한 방법과 작성 절차 등을 마련할 필요가 있다.
Abstract
As economic uncertainty grows due to the COVID-19 pandemic, the need to quickly grasp the economic situation is growing. In order to understand the economic situation at an early stage, it is necessary to analyze high frequency data such as daily data rather than the existing monthly and quarterly data. In this study, based on the seasonal adjustment method of Ollech (2018), we prepared a seasonal adjustment method that can be applied to Korean daily data in consideration of national holidays and public holidays. Seasonal adjustments were made by applying this method to daily data of Korea, such as Electricity peak demand, Box office gross, Highway traffic, and Seoul subway ridership. Examining the seasonal adjustment results of the four daily data, it is judged that the seasonal adjustment was appropriate because the seasonally adjusted series was not significant in the seasonal frequency unlike the original series. The seasonally adjusted daily series is found to be more useful than the original series to quickly grasp changes in the economic situation after the COVID-19 pandemic. In the future, it is necessary for the Korean statistics authorities to prepare a pre-processing methodology suitable for Korean daily data by intensifying research on the seasonal adjustment of daily data.
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