국채장기수익률의 동태적 조건부 상관관계를 이용한 중국 실물경제예측에 관한 연구
A predictive study of changes to China's economy using dynamic conditional correlation of long-term government bond yield
0
조회
0
다운로드
0
인용
0
참고문헌
키워드
초록
본 연구는 중국 경제가 불확실성이 증대되는 가운데 중국경제의 불황 혹은 위기를 사전적으로 알 수 있는 예측도구를 개발하기 위해 사용되었다. 본 연구는 Lee et al(2016)의 미국에 대해서 진행한 논문결과가 중국에서도 유효하게 적용되는지를 검정한 후속연구로 세계 경제의 동조화가 심화된 현재에 미래 경제정보를 가지고 있는 국채장기수익률의 조건부 상관관계(Dynamic Conditional correlation)를통해서 중국 경제예측력을 검정해보았다. 표본 내 예측결과 글로벌 요인과 지역요인의 동태적 조건부 상관관계는 모두 Term Spread, PMI, 선행지수를 통제해도 중장기적으로 유효한 것으로 나타났으며, 표본외 예측결과에서는 지역요인이 단기적으로 Term Spread보다 우월한 예측력을 갖는 것으로 나타났다. 이를 통해 중국경제는 지역요인의 조건부 상관관계를 통해주로 단기적 예측을,
Abstract
This study is intended to develop a prediction tool with which an economic depression or crisis of the People’s Republic of China while the uncertainty of the Chinese economy has increased. In this study as a follow-up one which tests if the study results conducted by Lee et al. (2016) in the USA may be able to applied effectively to the Chinese economy, the prediction capability of the Chinese Economy was tested by having used the dynamic conditional correlation between many long-term government bond yields that hold the future economic information at the time of the present when the synchronization of the economies of many countries over the world has been deepened. As the results from the In Sample test, it was found that the dynamic conditional correlations caused by the global and regional factors were effective from the middle- and long-term views even though the term spreads, PMIs and the relevant leading economic indexes were controlled. As the results from the Out of Sample test, for predicting the Chinese economy, it was found that the regional factors have a superior prediction capability than the term spread in a short term. Accordingly, it seems that it is rational to conduct a short-term prediction mainly by examining the dynamic conditional correlation between the regional factors and to do a middle- or long-term prediction by checking the term spreads.
참고문헌 (22)
- 이기영, "Term Spread의 중국경기예측력에 관한 연구", 중국연구, 64, pp.215~242 (2015), 중국연구소[DOI]
- 이기영, "Term Spread의 중국실물경기 예측력연구-PMI및 선행지수와의 비교를 중심으로-", 한중사회과학연구, 15(4), pp.71~96 (2017), 한중사회과학학회[DOI]
- Kose, M. A., "International business cycles: world, region, and country-specific factors", American Economic Review, 93(4), pp.1216~1239 (2003)
- Kulish, M., "The yield curve in a small open economy", Journal of International Economics, 85(2), pp.268~279 (2011)
- Wright, J. H., "Term premia and inflation uncertainty: Empirical evidence from an international panel dataset", American Economic Review, 101(4), pp.1514~1534 (2011)
- Dahlquist, M., "International bond risk premia", Journal of International Economics, 90(1), pp.17~32 (2013)
- Swanson, E. T., "Measuring the effect of the zero lower bound on yields and exchange rates in the U.K. and Germany", Journal of International Economics, 92(Supplement 1), pp.S2~S21 (2014)
- Cross-country comovement in long-term interest rates: A DSGE approach, "Chin, M.", Bank of England, ~, pp.Staff Working Paper No. 530 (2015)
- Jotikasthira, C., "Why do term structures in different currencies co-move?", Journal of Financial Economics, 115(1), pp.58~83 (2015)
- 이기영, "The long-term interest rates correlations: a new indicator predicting recession", Journal of Korea Trade, 20(3), pp.259~280 (2016), 한국무역학회
- Song, L. L., "Business cycle co‐movement between Australia and East Asia", Australian Economic Review, 44(4), pp.427~436 (2011)
- Hirata, H., "Closer to home", Finance and Development, 50(3), pp.40~43 (2013)
- 박영준, "Regional Business Cycles in East Asia: Synchronization and its Determinants", East Asian Economic Review, 17(2), pp.103~128 (2013), 대외경제정책연구원[DOI]
- Business cycle synchronization in Asia: The role of financial and trade linkages, "Dai, Y.", ADB, ~, pp.ADB Working Paper Series on Regional Economic Integration, No. 139 (2014)
- Das, D. K., "Foreign direct investment in China: Its impact on the neighbouring Asian economies", Asian Business & Management, 6(3), pp.285~301 (2007)
- Bhanupong, N., "The ASEAN business cycle and China’s slowdown", Philippine Review of Economics, 52(2), pp.192~209 (2015)
- How synchronized is China with the other Asia-Pacific countries?, "Berdiev, A. N.", Bryant University Center for Global and Regional Economic Studies, ~, pp.Working Paper No. 2013-14 (2013)
- Engle, R. F., "Dynamic conditional correlation: A simple class of multivariate generalized autoregressive conditional heteroscedasticity models", Journal of Business Economic Statistics, 20(3), pp.339~350 (2002)
- Zhou, "Forecasting Macro-economy Based on the Term Structure of Credit Spreads: Evidence from China", International Conference on Management Science & Engineering (2013)
- Yan, "THE SOVEREIGN YIELD CURVE AND THE MACROECONOMY IN CHINA", Pacific Economic Review, 20(3), pp.415~441 (2015)
- 朱世武, "利率期限结构对通货膨胀预测能力的实证分析", 中国货币市场, 10 (2005)
- 郭涛, "中国利率期限结构的货币政策含义", 经济研究, 3 (2008)