VECM활용한 국제유가 변동이 한국경제에 미치는 영향에 관한 연구
A Study on the Influence of International Oil Price Fluctuations on the Korean Economy Using VECM
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초록
본 연구는 1990년 1월부터 2015년 12월까지 분기별 한국의 거시경제자료를 바탕으로VECM을 구축하여 모형에 포함된 유가 변수의 움직임에 한국경제의 거시지표를 가지고분석하였다. 금융관련 시계열의 안정성확보를 위해 ADF와 PP Test가 I(1)과정에서 대부분의 안정적 변수로 확인되어 공적분 검정을 시행한 결과 적어도 3이상의 공적분 방정식의존재를 확인하였다. 공적분검정에서 장기균형관계에 있는 변수로 소비자물가지수(lnCPI)와 투자율(lnIVR)을 분석하여 이 변수를 VECM에서 중점적으로 다루어 본 결과, 모든 시차에서 소비자 물가지수는 유가와 부(-)관계를 나타냈고 투자율은 유가와 정(+)의관계를 나타냈다. 또한 충격 반응함수에서는 모두 부(-)의 반응을 나타냈는데, 이러한결과에 대한 가장 큰 이유는 VAR모형이 고려변수를 동학적으로 설명하지 못하고 단순한오차항의 충격만을 고려할 때 나타나는 한계로 판단한다. 이러한 오차항의 충격반응을VECM은 비교적 잘 설명을 해주고 있으며, 이러한 결과를 바탕으로 기업경영자와 정부정책 결정자는 거시경제 지표의 변화에 면밀한 주의를 필요로 한다.
Abstract
This study constructed the VECM based on quarterly macroeconomic data from January 1990 to December 2015 and analyzed the Korean economy with the macroeconomic-indicators in the movement of the oil price variables included in the model. In order to secure the stability of the finance related time series, ADF and PP test were identified as most stable variables in the I(1) process, and the cointegration test was performed to confirm at least three cointegration equations. In the cointegration test, we analyzed long-run equilibrium variables, lnCPI and lnIVR, and this variable was analyzed by VECM. As a result, the CPI shows a negative correlation with oil price And the investment ratio showed positive(+) relationship with oil price. In addition, all negative reactions were observed in the impact response analysis. The main reason for this result is that the VAR model does not explain the variables in terms of the dynamics. The VECM provides a good explanation of the impact response of this error term and based on these results, business executives and government policy makers need to pay close attention to changes in macroeconomic indicators.
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