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환율과 펀더멘탈의 장기균형과 영역변화: 대안적 소득측정치를 사용한 실증분석

Long-run Equilibrium Relationship between Foreign Exchange Rates and Fundamentals and Regime Changes: An Empirical Evaluation Using an Alternative Income Measurement

김시원|백경호
한국국제경제학회 (The Korea International Economic Association)|2010.12|국제경제연구 (KUKJE KYUNGJE YONGU)|제16권 제3호|pp. 51-75|DOI 10.17298/kky.2010.16.3.003

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키워드

환율펀더멘탈선형공적분임계공적분Foreign Exchange RateFundamentalLinear CointegrationThreshold Cointegration
주제분류경제학

초록

본 연구는 Chow and Lin(1971)의 내삽법에 의해 추정된 월간 실질GDP 자료를 이용하여 명목환율과 펀더멘탈 사이의 장기균형관계를 검정하였다. Johansen 공적분 검정결과, 산업생산지수와 추정된 GDP를 사용한 검정결과에서 발견되는 차이는 크기 않지만, 추정된 월간 실질GDP가 사용될 때 상대적으로 장기균형관계에 호의적인 결과가 나타났다. Hansen and Seo(2002) 모형을 이용한 임계공적분 검정에서는 더욱 뚜렷한 결과의 차이가 발견되었다. 추정된 월간 GDP를 사용한 모형추정에서는 환율의 균형이탈 폭이 작은 경우 균형회복이 발생되지 않지만 이탈의 폭이 큰 경우에는 균형회복이 발생된다는 증거가 발견되었다. 이는 월간 산업생산을 사용한 결과와는 상반된 것으로, 환율조정과정의 임계효과를 고려하거나 개선된 실질소득 측정치를 사용함으로써 환율결정이론에 대한 실증분석결과를 개선할 수 있는 가능성을 제시하는 것이라 하겠다.

Abstract

This study estimates monthly real GDP series using the interpolation method proposed by Chow and Lin(1971) and investigates long-run equilibrium relationship between nominal exchange rates and economic fundamentals. Johansen cointegration test using the estimated GDP yields results more in favor of long-run equilibrium than that using industrial production even though the differences are within a narrow range. The study applies threshold cointegration model proposed by Hansen and Seo(2002) and finds strong evidence that the long-run equilibrium relationship between exchange rate and fundamentals runs through the two regimes, random walk regime and cointegration regime, when monthly real GDP is used. This is in sharp contrast with the results using industrial production. The results suggest that one may improve empirical performance of the exchange rate determinant theories by accounting for the threshold effect or using better measures of real income.

참고문헌 (34)

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