월간경제지표를 이용한 실질GDP성장률 예측
Predicting Real GDP Growth Using Monthly Economic Indicators
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초록
본 연구의 목적은 현재의 경제상황을 가늠하는 가장 대표적인 거시경제변수라고 할 수 있는 실질국내총생산 단기예측모형을 개발하는 것이다. 그 과정에서 비교적 적은 시차를 두고 이용 가능한 월간지표의 예측을 위한 베이지언 벡터자기회기모형과 실질GDP성장률 예측을 위한 대한 분기모형이 결합되었으며, 임의적인 판단을 배제하고 새로운 정보가 추가되면 반복적으로 새로운 예측치를 생성할 수 있는 간결한 모형을 구성하고자 시도하였다. 예측수행자가 가지고 있는 정보가 해당 분기 첫째 달의 월별 지표만을 부분적으로 이용 가능한 상황에서 출발하여 점차 정보량이 증가함에 따라 해당 분기의 모든 달에 대한 월별 지표가 이용 가능한 상황까지 변화시켰을 때 해당 분기와 다음 분기의 경제성장률 예측치가 생성되고 업데이트되는 과정을 비교적 상세하게 살펴보았다. 2001년 1월부터 2011년 9월까지 월간지표와 2011년 2/4분기까지의 실질국내총생산 자료를 이용하여 월간예측지표에 대한 베이지언 VAR모형과 분기성장률예측모형을 추정하고 2011년 3/4분기와 4/4분기의 경제성장률 예측치를 생성한 결과 모형이 비교적 정확한 예측력을 가지고 있는 것으로 나타났다.
Abstract
This paper sets out a simple model to predict quarterly real GDP growth in the current and next quarter. Towards this end, a parsimonious quarterly model that can predict quarterly real output growth based on monthly indicators is constructed. The monthly indicators that will be used to forecast real GDP are selected on the basis of (i) in-sample performance, (ii) out-of-sample forecast performance, and (iii) availability of the data relatively early in the quarter. Our finally chosen model contains only two variables: industrial production index(IP) and service production index(SVR). But in order to produce forecasts of real GDP growth we should generate forecasts of the monthly indicators themselves. We use a bivariate Bayesian vector autoregression(VAR) model to forecast monthly predictors. The Bayesian VAR models overcome over- parameterization and over-fitting problem of VAR model by imposing “Bayesian priors.” A widely used Minnesota prior is implemented through dummy observations. A comparison of pseudo-out-of-sample forecast performance of bivariate VAR and BVAR model shows that BVAR(12) outperforms VAR(12) in terms of RMSE(root mean squared error) and MAE(mean absolute error). Our model which combines quarterly forecast model of real GDP growth and monthly forecast model of IP and SVR shows an excellent performance.
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