오차단위근을 고려한 구매력평가설 검정
Testing Purchasing Power Parity in Transformed ECM with Nonstationary Disequilibrium Error
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초록
본 연구는 구매력평가설 검정을 위해 VAR 모형의 Park-Ogaki 변환을 통해 유도된 변환 오차수정모형(transformed ECM)에서 공적분의 조건들을 나타내는 계수를 추정한 후 이를 각각에 대하여 개별적으로 검정하는 방법을 제시하고자 한다. 이러한 검정방법은 실질환율의 단위근 검정 방법과 Johansen 검정을 통한 VAR 모형의 접근법들이 갖는 한계점들을 보완할 수 있으며, 또 기존연구들의 구매력 평가설 기각이 ‘조정과정의 속도가 느린데 따른 결과’인지 아니면 ‘기본적으로 잘못된 가설’인지를 판단해 볼 수 있다는 장점을 지니고 있다. 여기서 검정 통계량으로 사용되는 추정계수들의 극한 분포는 비표준적이므로 붓스트랩을 통하여 기각역을 구할 수 있으며 모의실험을 통해 이를 확인하였다. 마지막으로 엔ᐧ달러 및 파운드ᐧ달러를 대상으로 구매력평가설의 기각은 ‘균형수준으로의 느린 조정과정’에 기인한다는 실증분석결과를 도출하였다.
Abstract
In this paper, we show that the wide-spread rejection of the test for the hypothesis of purchasing power parity (PPP) may simply be due to the slow adjustment to the long run equilibrium, rather than the rejection of the hypothesis itself. Our approach is based on the decomposition of the nonstationarity in a transformed error correction model into two components: nonstationarity of the variables included in the model and nonstationarity of the disequilibrium error. We propose statistics that can be used to test whether the disequilibrium error is indeed stationary. The proposed tests have nonstandard limit distributions, but they can be computed using the standard bootstrap procedure. According to our simulation, the tests have relatively good size and power in finite samples. Empirical tests on the yen·dollar and pound·dollar suggest that the slow adjustment to the long run equilibrium is likely to be the reason why the PPP hypothesis is rejected.
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