최적화 모형에 기초한 한국의 국제자본이동성 평가 = Testing capital mobility based on an optimizing model The case of Korea

다국어 초록 (Multilingual Abstract)

This paper examines the degree of international capital mobility for Korea. By applying the intertemporal optimizing model by Shibata and Shintani(1998) and Cooray (2005), we develop a theory-based estimation method under the assumption of a variable real interest rate to concentrate on the case of a small open economy. The empirical results based on Granger causality test and OLS estimation show that Korea is a relatively free capital mobile economy. Furthermore there did not appear any statistically significant structural break in capital mobility.

국문 초록 (Abstract)

이 논문은 전형적인 소규모 개방경제라 할 수 있는 한국의 1977～2008년간 분기별 자료를 대상으로 최적화 모형에 기초해 자본이동성의 정도를 평가한다. 자본이동성을 검정하기 위한 추정식은 Shibata and Shintani(1998)와 이를 확장한 Cooray(2005)의 다기간 최적화 모형에서 유도되는 1계 조건을 활용하였다. 특히 완전 자본이동성이 성립하는 경우 순산출은 소비에 대한 설명력을 갖지 못한다는 조건을 활용하였으며 세계이자율의 가변성이 자본이동성에 영향을 미칠 수 있다는 소규모 개방경제의 특징을 감안하였다. 그랜져 인과관계와 1계조건 추정결과 자본이동성을 유의적으로 부정할 수 없음을 확인하였다. 아울러 자본이동성의 구조적 변화 시점은 1997년 1분기로 추정되었지만, 이러한 구조적 전환의 발생에 대한 통계적 유의성은 매우 작았다.

참고문헌 (Reference)

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