아시아국가 경상수지의 평균회귀성향 분석: 비선형 단위근 접근법
Are Current Accounts of Asian Economies Mean-reverting?: Nonlinear Unit Root Test Approach
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초록
본 논문은 비선형단위근 검정법을 활용해서 외환위기를 경험한 아시아 5개국의 경상수지의 평균회귀 성향을 검정하였다. 본 논문의 접근법은 경상수지가 비선형 평균회귀성향을 보이면 전통적인 단위근 검정법이 비선형 평균회귀의 특성을 포착하는 데 있어 검정력이 낮다는 점을 활용하였다. 본 논문에서 얻은 주요 실증분석결과는 다음과 같다. 첫째, 외환위기 이전의 시기(1981년 1/4분기-1996년 4/4분기)에는 인도네시아, 말레이시아 및 필리핀의 경상수지는 평균회귀를 보였지만, 한국과 태국의 경상수지는 평균회귀의 성격을 보이지 않았다. 둘째, 전 표본기간(1981년 1/4분기-2003년 4/4)중에는 ADF 단위근 검정법을 사용하면 필리핀을 제외하고는 4개국의 경상수지에 단위근이 존재한다는 가설을 기각할 수 없었다. 그러나 태국의 경우를 제외하고는 단위근의 존재가 비선형 평균회귀의 대립가설에 의해 기각되었다. 이러한 비선형 단위근 검정법의 결과는 태국을 제외하고는 외환위기를 겪은 4개국의 경상수지가 지속가능했다는 것을 의미한다. 셋째, 아시아국가의 경상수지가 비선형 평균회귀의 성격을 보일 경우, 평균회귀의 형태는 smooth transition 모형으로 잘 포착되었다. 넷째, 추정된 충격반응함수의 형태는 비선형 시계열의 특성을 간접적으로 입증해준다.
Abstract
This paper tests the mean reverting property of current account in the financial crisis-affected 5 counties of southeast Asia using nonlinear unit root tests of Park and shintani(2004). Our approach is based on the idea that a conventional unit root test has lower power in detecting the nonlinear mean reverting behavior if the current account follows a nonlinear mean reversion process. We obtained following empirical results. First, for the pre-crisis period (1981Q1-1996Q4), the current accounts of Indonesia, Malaysia and Philippines are mean-reverting but those of Korea and Thailand are not mean-reverting. Second, for the full sample period (1981Q1-2003Q4), the ADF test fails to reject the unit root of the current account in all countries except Philippines. However, unit root is rejected in favor of nonlinear mean reversion except Thailand. This nonlinear unit root test result implies that crisis-affected Asian countries except Thailand have sustainable paths of current accounts. Third, when the current accounts of East Asian countries are nonlinear mean-reverting, the mean reverting process can be well described by the ESTAR model, instead of the DTAR or DLSTAR model. The nonlinear unit root test results imply smooth nonlinear mean-reversion behaviors of East Asian current accounts. Finally, the shape of estimated impulse response functions becomes steeper as the size of shock increases, which is the very characteristic of the nonlinear process.
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