한국의 재정적자와 경상수지: MWALD 인과검정
Budget Deficits and Current Account in Korea: An Application of MWALD Causality Test
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초록
본 연구는 1994년 I분기부터 2004년 II분기까지의 분기별 통합재정수지, 경상수지 및 대미달러 원화환율의 실질변수를 사용하여 한국의 재정수지와 경상수지 사이의 Granger-인과관계를 보완된 Wald(MWALD)검정을 이용하여 추정하였다. 추정 결과는 경상수지로부터 재정수지로의 일방적인 인과관계가 존재하는 것으로 나타났다. 또한 재정 및 경상수지와 환율 사이의 인과관계 추정에서는 환율로부터 경상수지로의 일방적인 인과방향이 존재하는 것으로 나타났다. 이러한 추정 결과는 한국을 대상으로 한 기존의 연구결과와 거의 일치한다.
Abstract
This paper examines the causality between budget deficits and current account deficits in Korea by using a modified Wald (MWALD) test. This test allows us not only to examine the general validity of the “twin deficits” hypothesis but also to predict any possible impact of fiscal deficits on future Korean external balance positions. In order to avoid possible distortion of the causality inferences due to omission of relevant variables, exchange rate is included. The estimated results indicate that an unidirectional causal relation running from current account to budget balance exists and that the exchange rate plays an important causal role in influencing on the current account balances.
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