OECD 23개 주요국가의 기업가 비율 패널 시계열분석

서한석 한국기업경영학회 2015 기업경영연구 Vol.22 No.1

What kind of explanatory variables affect business ownership rate? How is the business ownership rate related to income per capita and what are the direction of causality between them?This paper examines the long-term relationship between business ownership rate and a number of variables for a panel of 23 OECD developed countries over the period from 1980 to 2008. To do this we first investigate the stationarity of variables concerned, then test cointegration among the variables by employing the Westerlund’s (2007) error correction panel method. Commonly used econometrics methods are the so-called first generation panel unit root tests, such as Hadri and Levin A, Lin CF, Chu(=LLC). Because these first-generation tests assume cross-sectional independence, exhibit severe size distortions in the presence of cross-sectional dependence, we also use second-generation panel unit root tests such as CIPS(=cross-sectionally augmented IPS) to allow for cross-sectional dependence. For all level variables, both Hadri and LLC test do not reject the null hypothesis of a unit root at from the 1 % to 5% level. With regard to the first differences of the series, the test statistics are greater than the 1% or 5% critical absolute value and thus the null hypothesis is rejected. The CIPS test results also offer identical conclusions,To test if the null hypothesis of no cointegration can be rejected, Westerlund (2007) has developed two group-mean tests and two analogous panel tests. In the two group-mean based tests, the alternative hypothesis is there is cointegration at least in one cross section unit, which is the same in many traditional panel cointegration tests. Results using two pairs (no intercept, no time trend), (intercept, time trend) and one-period lead and lag values indicate that all four tests reject the null of no cointegration at the 1% or 5% level. Finally we bootstrapped robust critical values for the test statistics. Overall, those results show that there exists a long run cointegrating relationship among the variables in equation. Having confirmed the stationarity of variables and the existence of a long run relationship between the variables in equation, DOLS(Dynamic OLS) were utilized to estimate the respective parameters. Empirical results show that the sign of estimated parameter coefficients are different between country groups. While income per capita, economic openness, level of human capital, and credit accessibility significantly positive affect business ownership rate in riser country group, the signs of those coefficients in faller group are almost negative. This implies that the parameters of determinants are heterogenous between two groups of countries even though all of these countries are the OECD members. The above interpretation of the estimation results is based on the assumption that long-run causality runs from explanatory variables to business ownership rate. However, while cointegration implies causality in at least one direction, it says nothing about the direction of the causal relationship between the variables, as discussed above. Causality may run in either direction, from income per capita to business ownership rate or from business ownership rate to income per capita, or in both directions. To test the direction of long-run causality, we follow common practice in the applied panel cointegration methods and employ two-step procedure. And same procedure applies to causal relationship between unemployment rate and business ownership rate. In the first step, we use the DOLS estimate of the long-run relationship to derive the disequilibrium term. In the second step, we estimate the error correction model. From this we conclude that long-run causality is bidirectional, implying that increasing business ownership rate is both a consequence and cause of increasing level of income per capital or decreasing unemployment rate. To check the robustness of this conclusion, we perform a panel Granger causa... 본 논문은 기업가비율이 실업률, 소득수준과 어떠한 장기적 관계에 있는지, 그리고 어떠한 설명변수들이 기업가비율에 영향을 미치는지 분석한다. 이를 위해 1980년부터 2008년까지 OECD 23개 국가를 패널 분석한다. 잘못된 추정과 편의의 위험을 피하기 위해 분석대상 변수들의 단위근 검정을 통해 수준변수들이 비정상적인지를 검정하고, 비정상적 변수들 간에 공적분관계가 존재하는지를 검정한다. 소득수준, 개방도, 규제정도, 실업률, 금융접근성, 노조 조직률 그리고 제조업비율이 기업가비율과 장기균형관계에 있음을 확인하였다. 기업가비율의 추세는 국가별로 큰 편차를 보이기 때문에, 비슷한 패턴을 보이는 국가그룹으로 분류하여 DOLS추정하였다. 증가추세의 국가그룹에서 소득수준, 개방도, 실업률, 제조업비율, 금융접근성이 유의한 양의 영향을, 인적자본수준과 노조 조직률은 유의한 음의 영향을 주고 있다. 이러한 추정결과는 기업가비율이 감소패턴을 보이는 국가그룹과 상이하다. 감소패턴의 국가그룹에서는 노조 조직률을 제외한 나머지 모든 변수에서 상반된 추정 계수값을 보인다. 즉, 어떤 그룹에 속하는지에 따라 기업가비율에 영향을 미치는 요소의 영향의 방향이 달라진다. 기업가비율이 다른 설명변수들과 반대의 인과관계를 갖는지를 테스트하기 위해 오차수정모형(error correction model)을 추정하였다. 기업가비율은 소득수준 및 실업율과의 관계에서 양방향 인과관계가 성립하며, (기업가비율 ⇄ 소득수준), (기업가비율 ⇄ 실업률)의 충격반응모형을 통해, 충격에도 불구하고 장기균형수준에 수렴함을 보인다.

Cointegration Relationship in the Stock Markets among Northeast Asian Countries

Wan-Min Kim(金完敏),Jaejung Lee(李在楨),Tae-Yeong Choi(崔泰榮) 동북아시아문화학회 2016 동북아시아문화학회 국제학술대회 발표자료집 Vol.2016 No.7

Since the seminal paper by Engle and Granger (1987), there has been a growing literature on cointegration. In this paper, we aim to examine the cointegration relationship in the stock markets across northeast Asian countries, namely Korea, China and Japan, and USA as a benchmark. For integration analysis, we use two approaches: Johansen cointegration test (Johansen, 1988, 1991, and the ARDL bound test (Pesaran, et al. 2001). In order to check the stability of time series, we employ the CUSUM and CUSUMSQ tests (Brown, et al. 1975). Following Gregory and Hansen (1996, a, b), we conduct an econometric analysis to detect structural changes. For financial economists, nonstationarity is synonymous with structural change (Hsieh, 1991, p. 1859). We use representative stock market indices in four countries: Korea (KOSPI), China (SSECI), Japan (NIKKEI 225), and the United States (S&P 500). KOSPI is obtained from Samsung Securities Co. Ltd, and the others are collected from Yahoo finance (www.finance.yahoo.com). The sample frequency is quarterly, yielding 92 observations. Our data span covers 1993 Q1 through 2015 Q4. From the unit root tests, all four variables reveal difference-stationary processes, or I(0), leading to the conclusion that they are stationary over time. As a result, we do not have to worry about the problem of spurious (or nonsense) regression. Following Gregory and Hansen (1996, a, b), we conduct an econometric analysis to detect structural changes. We can clearly observe the breakpoint for China (SSECI) is the 2<SUP>nd</SUP> quarter in 2006, which is due to the China’s shareholder’s rights reform (April 2005-May 2007). In order to determine the existence of long-term equilibrium among selected variables, we employ cointegration test (Johansen, 1988, 1991) and ARDL bounds testing approach (Pesaran, et al. 2001). From the ARDL bound tests, we find long-run cointegration relationships among the four stock markets for the period of 1993 Q1-2015 Q4 (entire sample period) and 2006 Q3-2015 Q4 (after the breakpoint to the last quarter). During 1993 Q1-2006 Q2 (from the 1<SUP>st</SUP> quarter to the breakpoint), we find long-run equilibrium relation only between Chinese and Korean stock markets. As we include additional underlying variables, Japan (NIKKEI) or USA (SP500), we can find no cointegration relationships across northeast Asian countries.

Fiscal Sustainability Test on Social Spending

Kang-Koo Lee,Hyesun Kim 한국제도경제학회 2018 제도와 경제 Vol.12 No.1

우리나라의 사회복지지출은 저출산·고령화 등에 대응하기 위해 예전에 비해 증가 하였으며, 향후에도 크게 증가할 것으로 전망된다. 본고에서는 사회복지지출 증가가 재정의 지속가능성에 어떠한 영향을 미치는지, 주요국들은 사회복지지출과 재정의 지속가능성에 연관성이 있는지 국제자료를 분석함으로써, 우리나라의 최근 사회복지 지출 증가가 재정의 지속가능성에 영향을 주는지에 대한 답을 찾고자 하였다. 주요국들의 시계열 자료를 바탕으로 복지부문 세수입과 사회복지지출의 공적분 관 계를 검정해 본 결과, 캐나다, 프랑스, 독일, 네덜란드, 노르웨이 등이 사회복지지출의 지속가능성을 유지하고 있는 것으로 나타났다. 또한 사회복지지출이 늘어나 복지부문 세수입을 증가시킨 국가는 오스트레일리아로 나타났으며, 반대로 세수입 증가 시 사회 복지지출이 늘어난 국가는 스페인과 미국으로 나타났다. 패널그룹 내 공적분 검정과 패널그룹 간 공적분 검정을 실시한 결과 복지부문 세수입-사회복지지출 간의 지속가능성은 유지되는 것으로 나타났다. Social welfare expenditure in Korea has rapidly increased to resolve the problems due to the low birth rate and aging population. Moreover, the amount of social welfare expenditure is expected to rise significantly in the future. In this manner, we tried to answer the following questions in this paper: (1) is the social spending sustainable? (2) do the experiences of advanced countries prove the fiscal sustainability while social spending rising? We conducted panel cointegration tests on OECD countries dataset during 1995~2014. Having done the cointegration tests on Canada, France, Germany, Netherlands, and Norway, with their individual time-series data, the fiscal sustainability of social spending is shown to maintain in these countries. The fiscal sustainability between tax revenues and social spending has been found to maintain via the within-panel cointegration and betweenpanel cointegration tests.

생활용품의 수입행태 분석: 신발, 가방, 문구, 완구

정윤하,모수원,이광배 사단법인 한국융합기술연구학회 2023 아시아태평양융합연구교류논문지 Vol.9 No.10

본고는 우리나라 생활용품의 수입이 빠르게 증가하여 무역수지 적자가 큰 폭으로 증가함에 따라 신발(MTI 5212), 가방(MTI 5113), 문구(MTI 5151), 완구(MTI 5152)와 같은 생활용품의 수입행태를 분석하는데 목적을 두었다. 이를 위해 변수의 단위근 검정, 모형의 공적분 검정, 오차수정모형, 충격반응과 같은 계량기법을 활용하였다. ADF 단위근 검정과 Johansen 다변량공적분검정에 투입되는 적정 시차 선정은 AIC, SBC, HQ통계량을 이용하였다. ADF 단위근 검정은 모든 변수가 불안정하나 1차 차분을 통해 안정적이라는 것, Johansen 공적분 검정은 추정하는 모형들이 안정적이라는 것을 보였다. 모형의 안정성이 담보됨에 따라 오차수정방정식을 추정하여 신발의 오차수정계수가 가장 크고 가방의 오차수정계수가 가장 작다는 것과 신발의 오차수정계수는 점차 커지나 문구, 가방, 완구의 오차수정계수는 점차 작아진다는 것도 이동오차수정모형을 이용하여 밝혔다. 또한 신발, 가방, 완구에서는 GDP충격이 환율충격보다 큰 반응을 야기하나 문구에서는 환율충격이 GDP 충격보다 더 큰 반응을 유발한다는 것과 소득증가 충격에 신발이 가장 큰 반응을, 문구가 가장 작은 반응을 보인데 비해 환율충격에 대해서는 문구가 가장 큰 반응을, 가방이 가장 낮은 반응을 보임을 밝혔다. 이러한 분석 결과를 통해 수입 관련 정책의 효과와 수입경쟁산업으로 성장가능성에 대해 시사점을 제시했다. This paper aims to analyze the import behavior of footwear (MTI 5212), bags (MTI 5113), stationery (MTI 5151), and toys (MTI 5152) as their trade deficits tend to grow sharply due to the rapid increase in imports of household goods in Korea. We use quantitative techniques such as unit root tests of variables, cointegration tests of models, error correction models, and impulse responses. AIC, SBC, and HQ statistics are used to select appropriate lags for the ADF unit root test and the Johansen multivariate cointegration test. We start to test for the presence of unit roots using the Augmented Dickey-Fuller tests and reveal that all the variables are nonstationary but are made stationary after the first difference. Johansen’s cointegration test reject the null hypothesis, implying that the variables are cointegrated, and they have a long-run relationship. This paper shows that the error correction coefficient of the footwear is the largest, while that of the bag is the smallest and reveals that the error correction coefficient of footwear tends to rise, while that of stationery, bags, and toys gradually decreases. We also show that for footwears, bags, and toys excluding stationery, GDP shocks cause a greater response than exchange rate shocks, and footwear (stationery) shows the greatest (smallest) response to income shocks, while stationery (bag) shows the greatest (smallest) response.

통화정책과 지역별 주택가격 사이의 장기 관계: 패널 공적분 기법에 의한 분석

배진성 ( Jin Sung Bae ) 전남대학교 지역개발연구소 2014 지역개발연구 Vol.46 No.1

한국의 통화정책과 주택가격의 패널자료(Panel data)를 구축하여 두 변수 간 장기적 안정관계를 파악하였다. 패널자료는 시계열분석이나 횡단면 분석만으로 파악할 수 없는 추가적인 정보를 얻을 수 있는 이점이 있다. 분석방법은 5종의 다양한 패널 단위근 검정으로 분석 자료의 정상성 여부를 파악하였으며, 두 변수의 장기적 안정관계를 알아보기 위해 3종의 패널 공적분 검정을 실시하였다. LLC(2002), Breitung(2000), Hadri(2000), IPS(2003)와 Maddala & Wu(MW. 1999)의 5종의 패널 단위근 검정에서 전체기간, 외환위기 전후, 글로벌금융위기 이후 등 분석의 모든 기간에서 주택가격과 통화정책 자료에 패널 단위근이 존재하여 비정상성적인 자료임이 확인되었다. 이를 토대로 Pedroni(2004), Kao(1999) 와Johansen-Fisher(1995)의 3종의 패널 공적분 검정을 실시하였다. 검정 결과 외환위기 이전에는 주택가격과 통화정책 사이에 패널 공적분이 존재하여 장기적 안정관계임이 확인되었으나, 외환위기 이후 2012년 12월까지 두 변수 사이에 장기적 안정관계가 약화됨을 확인 하였다. 이는 2000년대 이후의 주택가격은 통화정책 보다 다른 요인들에 더 큰 영향을 받고 있음을 시사한다. I explore a long-run relationship between monetary policy and house prices in Korea. The uncollateralized call rates of Bank of Korea is the measure of the monetary policy and the house purchase price composite index of Kookmin Bank represents real house prices. I utilize monthly data from January 1991 to December 2012 of two regions of Seoul and six biggest cities: Gangnam and Gangbuk of Seoul, Busan, Daegu, Incheon, Gwangju, Daejeon, and Ulsan. Using five different panel unit root tests by LLC (2002), Breitung (2000), Hadri (2000), IPS (2003) and Maddala & Wu (MW. 1999), I find a unit root in all variables for the entire period, pre- and post-currency crisis periods, and the period after the global financial crisis. Based on this finding, I conduct three types of panel cointegration test: Pedroni (2004), Kao (1999) and Johansen-Fisher (1995). Test results show a long-term stable relationship between monetary policy and house prices before the currency crisis. I, however, fail to find strong evidence for a stable relationship after the currency crisis. This can be interpreted that monetary policies is rather irrelevant to house prices in the 2000s. However, panel cointegration is found in both Kao`s panel cointegration tests and Johansen-Fisher`s panel cointegration test even after the currency crisis. Taken all, it is hard to conclude that house prices are not related at all with monetary policies. Also, the cointegration relationship does not necessarily mean a cause-and-effect relationship. Further studies are needed to investigate why long-term relationships between monetary policy and house prices are weakened in the 2000s.

부동산펀드 운용 규모와 성과에 미치는 거시경제 요인 분석

최문경 한국재무관리학회 2015 財務管理硏究 Vol.32 No.4

VECM was used in empirical analyzing the macroeconomic factors affecting the size and performance of Korean real estate fund. In order to change to a stable time-series, differential process was made and the result of Phillips-Perron unit root test showed that the variables were in a stable. Johansen Cointegration test showed that the variables had 3 cointegration relationship and this confirmed the long-run relationship among the variables. In choosing the time lag of variables and insert sequence when estimating VECM, lag selection model and Granger Causality test were both performed. VECM result showed that there was no long-run relationship established between macroeconomics variables and real estate fund’s size but long term relationship was established between real estate fund’s performance and macroeconomics variables and also short-run equilibrium was explained as well. Also, through impulse response analysis and variance decomposition analysis, the effect of macroeconomic variables shock on real estate fund size and performance throughout time was verified. As a result, own variable shock’s influence was the largest early on but throughout time, other economic variables’ influence became bigger. Lastly, in order to verify the suitability of the model, hypothesis testing was performed and the selection of macroeconomics variable was verified as suitable and as a result of Lagrangian Multiplier Test, the suitability of the model was verified. 벡터오차수정모형(VECM)을 이용하여 우리나라의 부동산펀드 규모와 성과에 영향을 미치는 요인들에 대해 실증적으로 분석하였다. 안정적인 시계열로 변환하기 위해 차분 과정을 거쳐 필립스-페론 단위근 검정을 실시한 결과 모든 변수들이 안정적 시계열임을 확인할 수 있었다. 요한슨 공적분 검정 결과 변수들 간의 공적분 관계가 3개 존재하는 것으로 밝혀져 변수들 사이에 장기적인 시계열 관계가 확인되었다. VECM 추정 시 투입될 변수의 시차와 투입순서를 결정하기 위해 적정시차분석과 그랜저 인과관계 검정을 함께 실시하였다. 분석결과 거시경제변수와 부동산펀드 규모 사이에는 장기적인 균형관계가 성립되지 않는 것으로 나타났지만 부동산펀드 성과와 거시경제변수들 간에는 장기적인 균형관계가 있는 것으로 나타났고 단기균형의 경우도 설명이 되었다. 충격반응분석과 분산분해 분석을 통해 변수들의 충격이 시간의 변화에 따라 부동산펀드 규모와 성과에 얼마만큼의 영향을 주고 있는지도 확인하였다. 그 결과 자체변수 충격의 영향을 많이 받는 편이었으며, 초기에는 자체변수의 영향도가 높았지만, 시간의 변화에 따라 다른 경제변수들의 영향도가 높아지는 모습을 확인할 수 있었다. 마지막으로 연구의 적합성을 확인하기 위해 가설검정을 실시한 결과 거시경제 변수 선정의 적합성이 확인되었고, Lagrangian Multiplier test에 따라 모형의 적합성이 확인되었다.

Sign IV Cointegration Tests

Oh, Yu-Jin The Korean Statistical Society 2009 Communications for statistical applications and me Vol.16 No.4

We propose new cointegration tests using signs of the regressors as instrumental variable. Our tests have the asymptotic standard normal distribution and are free from the dimension of regressors under the null hypothesis of no cointegration. A Monte-Carlo simulation shows that the proposed tests have a stable size and an improved power. Particulary, the tests have better power for small numbers of observations.

Nonparametric test for money and income causality

정기호 한국데이터정보과학회 2004 한국데이터정보과학회지 Vol.15 No.2

This paper considers the test of money and income causality. Jeong (1991, 2003) developed a nonparametric causality test based on the kernel estimation method. We apply the nonparametric test to USA data of money and income. We also compare the test results with ones of the conventional parametric test.

Nonparametric Test for Money and Income Causality

Ki Ho Jeong 한국데이터정보과학회 2004 한국데이터정보과학회지 Vol.15 No.2

This paper considers the test of money and income causality. Jeong (1991, 2003) developed a nonparametric causality test based on the kernel estimation method. We apply the nonparametric test to USA data of money and income. We also compare the test results with ones of the conventional parametric test.

Nonparametric Test for Money and Income Causality

Jeong, Ki-Ho Korean Data and Information Science Society 2004 한국데이터정보과학회지 Vol.15 No.2

This paper considers the test of money and income causality. Jeong (1991, 2003) developed a nonparametric causality test based on the kernel estimation method. We apply the nonparametric test to USA data of money and income. We also compare the test results with ones of the conventional parametric test.