중국 경제 불확실성 지수 변화 예측에 관한 탐색적 연구
An Investigative Study on the Changes in the Economic Uncertainty Index in China
0
조회
0
다운로드
2
인용
0
참고문헌
키워드
초록
본 연구는 이러한 취지에서 중국 경제 불확실성을 예측할 수 있는 예측변수를 개발하는 것을 목표로 하고 있다. 하지만 “경제 불확실성”은 보이지 않는 변수(Latent Variable)이기 때문에, 이 자체를 예측한다는 것은 현실적으로 매우 어려운 일이다. 따라서 본 연구에서는 대안으로 경제 불확실성을 가장 잘 측정하는 것으로 학계에서 이미 검증된 경제 불확실성 지수의 변화를 예측하는 변수를 설정하고, 이의 예측력을 검증하는 것을 목표로 한다. 만약 중국 경제의 불확실성을 잘 설명하는 것으로, 학계에서 이미 검증된 Baker et al.(2016)와 Bekaert et al. (2020)의 방법으로 구축한 중국경제 불확실성 지수의 변화를 특정변수가 통계적으로 유의하게 예측할 수 있다면, 이 특정변수는 중국 경제의 불확실성을 어느 정도 예측할 수 있는 유의한 정보를 제공하고 있다고 말할 수 있을 것이다.
Abstract
This study aims to develop predictors that can predict Chinese economic uncertainties to this effect. However, since "economic uncertainty" is a latent variable, predicting this itself is practically very difficult. Therefore, the aim of this work is to establish variables predicting changes in economic uncertainty indices that have already been proven in academia as the best alternative measure of economic uncertainty, and to verify their predictiveness. If a particular variable can statistically predict changes in the Chinese economic uncertainty index, which has already been established by academic-proven Baker et al. (2016), and Bekaert et al. (2020), it can be said that this particular variable provides meaningful information to predict the Chinese economic uncertainty to some extent. Thus, the aim of this study is to find variables that can proactively predict changes in the Chinese economic uncertainty index established through the methodologies of Baker et al. (2016) and Bekaert et al. (2020), and to test the predictive power of those variables. The study found that unlike the U.S., China has a proactive explanation for changes in short-term interest rates and CDS rates in the future rather than term premium. This seems to be due to the difference in the validity of information in the period premium and future short-term interest rate change predictions due to differences in trading volume and systems in the US and China bond markets. However, this study is still at an exploratory stage, and the prediction of economic uncertainty should be further advanced in academia, reflecting and complementing the research on theoretical foundations, backgrounds and mechanisms.
참고문헌 (37)
- 이기영, "경제 불확실성 지수 변화 예측에 관한 연구 -미국경제를 대상으로-", 국제지역연구, 25(3), pp.125~152 (2021), 국제지역연구센터
- 김웅, "불확실성이 경제성장에 미치는 영향", 국제경제연구, 18(3), pp.129~151 (2012), 한국국제경제학회[DOI]
- 윤선중, "기간스프레드의 분해와 기간프리미엄의 정보효과: 저금리 기간에 대한 함의", 금융연구, 32(4), pp.75~114 (2018), 한국금융학회[DOI]
- Adrian,.T, "Pricing the term structure with linear regressions", Journal of Financial Economicsm, 110(1) (2013)
- Bai, J., "Determining the number of factors in approximate factor models", Econometrica, 70(1) (2002)
- Baker, S., "Measuring economic policy uncertainty", Quarterly Journal of Economics, 131(4) (2016)
- Baker, M., "Investor sentiment and the cross-section of stock returns", Journal of Finance, 61(4) (2006)
- Bachmann, R., "Uncertainty and economic activity: Evidence from business survey data", American Economic Journal: Macroeconomics, 5(2) (2013)
- Uncertainty Shocks in a Model of Effective Demand Technical Appendix, "Basu,S.", NBER, ~ (2016)
- Bernanke, B., "Monetary policy in a data-rich environment", Journal of Monetary Economics, 50(3) (2003)
- Bernanke, B., "Measuring the effects of monetary policy: a factor-augmented vector autoregressive (FAVAR) approach", Quarterly Journal of Economics, 120(1) (2005)
- The Time Variation in Risk Appetite and Uncertainty, "Bekaert,G. Eric C.", NBER, ~, pp.WORKING PAPER 25673 (2019)
- Bloom, N, "The impact of uncertainty shocks", Econometrica, 77(3) (2009)
- Bloom, N., "Really Uncertain Business Cycles", Econometrica, 86(3) (2018)
- Breed, W., "Economic significant of predictable variables in stock index returns", Journal of Finance, 44(5) (1989)
- Campbell, J. Y., "Stock returns and the term structure", Journal of Financial Economics, 18(2) (1987)
- Chau, F., "Political uncertainty and stock market volatility in Middle East and North African (MENA) countries", Journal of International Financial Markets, Institutions and Money, 28 (2014)
- Chen CR, "Economic policy uncertainty and corporate investment: Evidence from China", Pacific-Basin Finance Journal, 26 (2014)
- Engel, R. F., "The spline-GARCH model for low frequency volatility nad its global macroeconomic causes", Review of Financial Studies, 21(3) (2008)
- Huang Y, "Measuring economic policy uncertainty in China", China Economic Review, 59(2020) (2020)
- Gulen,H., "Policy Uncertainty and Corporate Investment", The Review of Financial Studies, 29(3) (2016)
- Jurado, K., "Measuing Uncertainty", American Economic Review, 105(3) (2015)
- Jin P, "Macroeconomic uncertainty, high-level innovation, and urban green development performance in China", China Economic Review, 55 (2019)
- Liu, L., "Economic policy uncertainty and stock market volatility", Finance Research Letters, 15 (2015)
- Liu.Z, "Uncertainty shocks are aggregate demand shocks", Journal of Monetary Economics, 82 (2016)
- Marguering, W., "The economic value of predicting stock index returns and volatility", Journal of Financial and Quantitative Analysis, 39(2) (2004)
- Miranda-Agrippino,S, "U.S. Monetary Policy and the Global Financial Cycle", The Review of Economic Studies, 87(6) (2020)
- Nakamura E, "Are Chinese growth and inflation too smooth? Evidence from Engel curves", American Economic Reivew, 8(3) (2016)
- Paye, B. S., "Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables", Journal of Financial Economics, 106(3) (2012)
- Pan WF, "Measuring Economic Uncertainty in China, Emerging Markets Finance and Trade", Published online, ~ (2021)
- Schwert, G. W., "Why does stock market volatility change over time?", Journal of Finance, 44(5) (1989)
- Diffusion indexes, "Stock, J.", NBER, ~, pp.NBER Working Paper No. 6702 (1998)
- Stock, J., "Forecasting inflation", Journal of Monetary Economics, 44(2) (1999)
- 郭涛, "中国利率期限结构的货币政策含义", 经济研究, 3 (2008)
- 贺畅达, "产出, 通货膨胀预测与利率期限结构", 财经问题研究, (11)통권 : 348 (2012)
- 石柱鲜, "中国主要宏观经济变量与利率期限结构的关系-基于VAR-ATS模型的分析", 世界经济, (3) (2008)
- 王金明, "国债期限利差对中国宏观经济波动的预警研究", 金融经济学研究, 32 (2017)