동행구성지표를 이용한 기준순환일 설정에 관한 연구
A Study on Dating the Reference Cycle Using Components of Composite Coincident Index
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본 연구에서는 7개의 경기동행지수 구성지표들과 Camacho et al.(2022)의 혼합 다중 구조변화모형(multiple change-point model)을 이용하여 2003년 1월부터 2022년 12월 동안 발생한 우리나라 기준순환일의 정점과 저점을 추정하였다. 추정결과 분석기간동안 혼합 다중 구조변화 모형을 이용하여 추정한 기준순환일(date-then-average approach)의 갯수는 4개로 통계청이 발표하는 기준순환일(average-then-date approach)의 경우와 동일하다. 하지만 정점과 저점의 일치여부를 비교한 결과 분석기간동안 두 번째 순환기의 정점과 저점은 유사한 반면 세 번째와 네 번째 순환기의 정점과 저점은 다른 것으로 나타났다. 이와 같은 경기전환점의 큰 시차는 두 접근법의 차이, 건설기성액과 같은 예외적인 변수, 추세추정방법의 차이 등에 기인하는 것으로 보인다.
Abstract
This study estimates the peaks and troughs of the reference cycle dates in Korea from January 2003 to December 2022 using the seven components of the coincident index and the multiple change-point model of Camacho et al. (2002). The estimation results show that the number of reference cycle dates estimated using the multiple change-point model (date-then-average approach) during the analysis period is four, which is the same as the number of reference cycle dates announced by Statistics Korea (average-then-date approach). However, when comparing the coincidence of the peaks and troughs, it is found that the peaks and troughs of the second cycle of the analysis period are similar, while the peaks and troughs of the third and fourth cycles are different. This large discrepancy in the timing of the turning points is likely due to differences in the two approaches, anomalous variables such as value of construction completed, and differences in trend estimation methods.
참고문헌 (18)
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