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분수 공적분 모형에서의 명목 환율의 동태적 분석

The Dynamics of Nominal ExchangeRates in a Fractional Cointegration Model

김창식
한국계량경제학회|2006.06|계량경제학보 (Journal of Economic Theory and Econometrics)|제17권 제2호|pp. 79-105

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참고문헌

키워드

장기 기억Long MemoryLong Run Equilibrium분수 공적분장기 균형공적분 벡터장기 분산 추정Fractional CointegrationCointegrating VectorExchange Rate Dynamics
주제분류경제학

초록

이 논문은 표준 공적분 모형보다 더 넓은 범위의 평균 회귀적 성향을 포함하면서 장기적 경제 변수의 균형관계를 모델화 할 수 있는 분수 공적분 모형에서의 효율적인 추정방법을 소개한다. Phillips and Hansen(1991)의 Fully-Modified 방법이 분수 공적분 모형에서도 이차 편의를 줄일 수 있는 추정 방법이 될 수 있다는 사실에 의거하여 명목환율의 동태적 움직임을 분수 공적분 모형하에서 분석한다. 이 논문의 실증 분석에서는 1957～1997 사이의 명목환율에서 장기적 균형관계, 즉 공적분 관계가 있음을 보인다.

Abstract

This paper introduces an efficient estimation for fractional cointegration models which capture long run economic equilibrium relationships while allowing for a wider range of mean reverting behavior than standard cointegration analysis. The Fully-Modified method which is suggested in Phillips and Hansen (1991) can be applicable to fractional cointegration models to reduce second order biases. The comovement of nominal exchange rates is analyzed in a fractional cointegration models. Exchange rates dynamics are estimated by the efficient estimation method. Empirical results based on data for the 1957～1997 period show that there exists a cointegration relationship in a group of exchange rates.

참고문헌 (35)

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