아시아 국가에서의 경상수지 불균형의 조정과정에 관한 연구
The Adjustment Process of Current Accounts Imbalance in East-Asian 6 Countries
1
조회
0
다운로드
4
인용
0
참고문헌
키워드
초록
본 연구는 1972년 이후 동아시아 6개국의 경상수지 불균형의 조정과정에 대한 실증분석을 통해 다음과 같은 결과를 얻었다. 첫째, 동아시아 6개국의 경상수지는 1997년 외환위기를 기준으로 기조적으로 적자에서 흑자로 전환되었다. 둘째, 한국, 태국 및 인도네시아의 경우 경상수지 시계열에 단위근이 존재한다는 귀무가설이 비선형평균회귀의 대립가설에 의해 기각되어 이들 국가의 경상수지 지속성이 확인되었다. 셋째, 한국의 경상수지 불균형 조정에서 문턱효과가 존재한다는 증거를 발견하였다. 한국의 경우 경상수지 적자가 GDP의 -2.2974%를 초과하는 경우에 경상수지 적자가 체계적으로 축소되는 현상을 보이고 있다. 넷째, 97년 이후 한국, 말레이시아 및 인도네시아의 경우 경상수지가 저축의 증가보다는 투자의 감소에 의해 크게 개선되었다. 또한 이들 3개국의 경우 수입의 감소보다는 수출의 증가에 의해 경상수지의 반전이 발생되었다. 다섯째, 패널 VAR 모형을 이용해서 구한 충격반응함수의 추정치로 볼 때, 동아시아 국가의 경상수지 개선은 실질통화가치 하락의 효과보다는 경제성장율 하락에 의해 더욱 크게 나타났다.
Abstract
We are focused on the adjustment process of current account imbalance in Asian 6 countries such as Korea, Malaysia, Philippines, Indonesia, Thailand and Singapore. The empirical results are as follows. First of all, current account had a trend transformation from deficits to surplus at the point of 1997 asian financial crisis in East-Asian 6countries. Secondly, the null hypothesis of unit root for the current account ratio of GDP was rejected against the alternative hypothesis of nonlinear mean reversion in three countries as Korea, Thailand and Indonesia, which implies that current accounts are sustainable. Next, in the case of Korea, the current account adjustment process has the threshold point of around 2.30% of current account deficit ratio. This meas that the current account deficits are systematically reduced when the ratio of current account deficits to GDP are in excess of 2.30% in Korea. Fourthly, current accounts improved through an decrease of investment rather than an increase of saving in Korea, Thailand and Indonesia, Finally, the impulse response results of panel VAR indicate that more current accounts were improved by the lower economic growth than real depreciation of exchange rates.
참고문헌 (22)
- Adalet, M, "Current Account Reversals: Always a Problem", NBER conference on G7 Current Account Imbalances (2005)
- Arellano, M, "Another Look at the Instrumental Variable Estimation of Error Component Methods", Journal of Econometrics, 68(1), pp.29~51 (1995)
- Bergsten,C.F, "The Dollar and the US Economy, Testimony before the Committee on Banking, Housing and Urban Affairs" (2002), United States Senate
- Current Account Sustainability in the USL What Do We Really Know About it?, "Christopoulos, D. K", ~ (2004)
- Claida, R. H, "Are There Thresholds of Current Account Adjustments in the G7", NBER conference on G7 Current Account Imbalances (2005)
- Freund,C.L, "Current Account Adjustment in Industrialized Countries.Board of Governors of the Federal Reserve System", International Finance Discussion Papers, 692~ (2000)
- Freund, C. L, "Current Account Deficits in Industrial Countries: The Bigger They are, the Harder They Fall?", NBER Conference on G7 Current Account Imbalances (2005)
- Granger, C. J, "Modelling Nonlinear Economic Relationships" (1993), Oxford University Press
- Hansen,B.E, "Inference When a Nuisance Parameter Is Not Identified under the Null Hypothesis", Econometrica, 64(2), pp.413~430 (1996)
- Holman,J.A, "Is The Large U.S.Current Account Deficit Sustainable?", Economic Review (2001), Federal Reserve Bank of Kansas
- Felipe, J., "Asia's Current Account Surplus:Savings Glut or Investment Drought?", Asian Development Review, 23(1), pp.16~54 (2006)
- Love, I, "Financial Development and Dynamic Investment Behavior: Evidence from Panel VAR", The Quarterly Review of Economics and Finance, 46(2), pp.190~210 (2006)
- Mann,C.L, "Perspectives on the U. S. Current Account Deficit and Sustainability", Journal of Economic Perspectives, 16(3), pp.131~152 (2002)
- Current Account Reversals and Currency Crises: Empirical Regularities, "Milesi-Ferretti, G. M", NBER, ~, pp.working paper, No. 6620. (1998)
- Testing for a Unit Root Against Smooth Transition Autogressive Models, "Park, J. Y", Vanderbilt University, ~, pp.Working Paper No. 05-W10 (2005)
- Sachs,J.D, "The Current Account and Macroeconomic Adjustment in the 1970s", Brookings Papers on Economic Activity, 1, pp.201~268 (1981)
- Sachs,J.D, "The Current Account in the Macroeconomic Adjustment Process", Scandinavian Journal of Economics, 84(2), pp.147~159 (1982)
- Sheffrin, S. M, "Present Value Tests of an Intertemporal Model of the Current Account", Journal of International Economics, 29(3-4), pp.237~253 (1990)
- Taylor,M.O, "A Century of Current Account Dynamics", Journal of International Money and Finance, 21(6), pp.725~748 (2002)
- Terasvirta,T, "Specification, Estimation, and Evaluation of Smooth Transition Autoregressive Models", Journal of the American Statistical Association, 89(425), pp.208~218 (1994)
- Terasvirta,T, "Modelling Economic Relationships with Smooth Transition Regressions In Handbook of Applied Economic Statistics", pp.507~552 (1998), Marcel Dekker
- Trehan, M, "Testing Intertemporal Budget Constraints: Theory and Applications to US Federal Budget and Current Account Deficits", Journal of Money, Credit and Banking, 23(1), pp.206~223 (1991)