수출상품 다양화 전략: 포트폴리오균형모형과 GARCH(1,1)모형의 적용
Export Commodity Diversification Strategy: The Applications of Portfolio Equilibrium Model and GARCH(1,1) Model
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초록
본 연구는 국가뿐만 아니라 기업에도 안정적인 지속 가능 성장을 위해 긴요한 전략과제로 계속 대두되어 온 수출상품 다양화의 문제를 해결하는 방법론으로 수출상품 포트폴리오균형전략을 실행 가능한 모형 및 적용수단을 통해 도출하고, 그에 대한 행동계획 수립절차와 기본 요건을 보았다. 수출다양화 성과평가를 자료 입수가 용이한 상황에서 적용할 수 있는 허쉬만 및 허핀달 집중지수를 이용하여 규명하고, 포트폴리오균형 모형의 원리에 따라 수출상품 다양화의 수출매상고와 그 증가율 안정성의 상충적 효과를 체계적으로 분석하였다. 특히 본 연구는 무역시계열자료의 이분산성을 해결할 수 있도록 우수한 모형으로 평가되고 있는 GARCH(1,1)모형을 적용하여 우리나라 5대 수출상품 수출증가율의 변동성을 최대우도법으로 추정하고, Box-Pierce-Ljung Q통계량 검정을 수행한 후에, Excel 스프레드시트를 통해 5대 상품의 수출비중이 증가율 변동성에 대해 갖는 관계의 통합회귀를 수행했다. 그리고 포트폴리오 균형모형에 따른 최적 수출상품 다양화전략을 위해 단순한 Sharpe비율의 최대화 전략과 CAPM모형의 Sharpe-Litner-Mossin 증권시장선과 포락선의 접점을 통한 최대화전략으로 구분하여 도출하였다. 분석결과는 최적 포트폴리오 구성을 통한 수출상품 다양화 전략은 단순한 추정 변동성의 순위에 따라 비중을 축소하는 것이 아니라, 국내외 여건에 따른 무위험 성장률, 변동성 및 그 상관관계, 예상성장률에 따라 다르게 나타났다. 따라서 효과적인 수출상품 다양화 정책을 수행하기 위해서는 여건에 적합한 전략과 전략에 수행에 필요한 자원의 확보와 함께, 성과기반의 감독 및 평가 조치들의 마련이 정책 수행 이전에 확보되어야 할 것이다.
Abstract
This study develops the strategic methodologies of effective export commodity diversification based on the export diversification performance model, the conditional volatility-based GARCH(1,1) model, and the modern portfolio equilibrium model using the Microsoft Excel spreadsheet. We find that the Herfindahl concentration index is required for the effective assessment of diversification under the data constraints, the composition of commodities with the negatively correlated export earning growth rates into the export commodity portfolio is necessary to guarantee the stable and growing export performances and to minimize the volatility of export earnings, the volatilities of export growth rates of plate display, passenger cars, shipping vessels, aerophone, and semi-conductors appears in the descending order from the GARCH(1,1) model estimation of the 5 largest export commodities in the Korea's 1977-2009 year annual export data, and the weights of export commodity portfolio are determined according to the variance-covariance matrix and their opportunity cost besides of their volatilities. In conclusion, the combined approach including the variance-covariance structure and opportunity cost of export growth rates to determine the composition weight of export commodities for the efficient and effective diversification strategy should be implemented.
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