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한국 원화환율의 장기구매력평가 관계분석
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한국 원화환율의 장기구매력평가 관계분석.hwp
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한국 원화환율의 장기구매력평가 관계분석.hwp
[Size :
79 Kbyte
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자료설명
환율에 대한 기존의 PPP 검정에 대한 설명과 본 연구의 차별성과 검정모형의 이론적 배경과 통계적 방법 및 우리나라 원화환율의 장기구매력평가관계에 대한 실증분석에 대해서 설명했습니다.
s
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목차/차례
- Ⅰ.서 론
- Ⅱ. 국내외 선행연구 개관
- 1. 구미연구
- 2. 국내연구
- Ⅲ. 모형 및 실증방법
- 1. 공적분 분석
- 2. Johansen 공적분 검정법
- Ⅳ. 실증분석 결과
- 1. 표본설정 및 자료수집
- 2. 분석결과
- Ⅴ. 결론 및 시사점
- 참 고 문 헌
본문/내용
Ⅱ. 국내외 선행연구 개관
1. 구미연구
구매력평가관계의 성립여부를 검정하는 방법으로 실질환율의 시계열에서 단위근의 존재를 분석한 논문들이 있다. Frenkel(1981), Adler and Lehmann(1983) 그리고 Mark(1990)의 연구는 실질환율에 대한 단위근 가설을 기각하지 못하여 구매력 평가관계의 성립을 지지하는 결과를 도출해내지 못하였다. 이에 반해 Enders(1988) 및 Phylaktis(1992)의 연구는 실질환율에 대한 단위근가설을 기각하여 장기 구매력평가관계가 성립됨을 보여주였다. 단위근 검정법을 사용한 대부분의 연구들이 귀무가설을 기각하지 못한 것에 대해 Campbell and Perron(1991)은 단위근 검정법이 단위근 귀무가설을 기각하는 검정력(power)이 낮기 때문이라는 분석을 하였다.
최근까지 구미의 많은 학자들은 구매력 평가관계의 성립여부를 검정하기 위하여 Engle-Granger가 제안한 공적분검정법을 사용하여 왔다. 예를 들어 Enders(1988)와 Mark(1990)는 Engle-Granger의 2 단계 공적분검정법을 비교대상 양국의 물가지수와 명목환율에 적용하였다. 이들은 특히 물가지수의 계수들은 단위값을 갖으며 반대의 부호를 갖는 대칭성이 있다고 가정하…
1. 구미연구
구매력평가관계의 성립여부를 검정하는 방법으로 실질환율의 시계열에서 단위근의 존재를 분석한 논문들이 있다. Frenkel(1981), Adler and Lehmann(1983) 그리고 Mark(1990)의 연구는 실질환율에 대한 단위근 가설을 기각하지 못하여 구매력 평가관계의 성립을 지지하는 결과를 도출해내지 못하였다. 이에 반해 Enders(1988) 및 Phylaktis(1992)의 연구는 실질환율에 대한 단위근가설을 기각하여 장기 구매력평가관계가 성립됨을 보여주였다. 단위근 검정법을 사용한 대부분의 연구들이 귀무가설을 기각하지 못한 것에 대해 Campbell and Perron(1991)은 단위근 검정법이 단위근 귀무가설을 기각하는 검정력(power)이 낮기 때문이라는 분석을 하였다.
최근까지 구미의 많은 학자들은 구매력 평가관계의 성립여부를 검정하기 위하여 Engle-Granger가 제안한 공적분검정법을 사용하여 왔다. 예를 들어 Enders(1988)와 Mark(1990)는 Engle-Granger의 2 단계 공적분검정법을 비교대상 양국의 물가지수와 명목환율에 적용하였다. 이들은 특히 물가지수의 계수들은 단위값을 갖으며 반대의 부호를 갖는 대칭성이 있다고 가정하…
참고문헌
박대근, `원-달러 환율의 장기구매력평가로부터의 이탈에 대한 실증분석,`
『국제경제연구』, 제1권 제1호, 국제경제학회, 1995.
이연호, `원화의 대미달러 환율은 구매력평가설을 따르는가?,`
『조사월보』, 대우경제연구소, 1993년 7월.
Adler, M. and B. Lehman, `Deviations from Purchasing Power Parity in the Long Run,` Journal of Finance 38 (1983), 1471-87.
Bahmani-Oskooee, Moshen and Rhee, Hyun-Jae, `Testing for Long Run Purchasing Power Parity: An Examination of Korean Won,` International Economic Journal 6 (Autumn 1992), 93-103.
Campbell, John Y. and Pierre Perron, `Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots,` in NBER Economics Annual 1991, ed. by Olivier Jean Blanchard and Stanley Fischer (Cambridge: MIT Press, 1991).
Cheung, Yin-Wong and Kon S. Lai, `Long-Run Purchasing Power Parity During the Recent Float,` Journal of International Economics 34 (February 1993), 181-192.
Cheung, Yin-Wong and Kon S. Lai, `Finite-Sample Sizes of Johansen`s Likelihood Ratio Tests for Cointegration,` Oxford Bulletin of Economics and Statistics 55 (August 1993), 313-328.
Corbae, D. and Sam Ouliaris, `Cointegration and Test of Purchasing Power Parity,` The Review of Economics and Statistics 70 (August 1988), 508-511.
Davutyan, Nurhan, and John Pippenger, `Purchasing Power Parity Did Not
Collapse During the 1970`s,` American Economic Review 75 (December 1985), 1151-1158.
Dickey, David, and Wayne Fuller, `Distribution of the Estimators for Autoregressive Time Series with a Unit Root.` Journal of the American Statistical Association 74 (June 1979), 427-31..
Dickey, David, and Wayne Fuller, `Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root.` Econometrica 49 (July 1981), 1057-72.
Dornbusch, Rudiger, `Expectation and Exchange Rate Dynamics,` Journal of Political Economy 84 (December 1976), 1161-1176.
Edison, Hali J., `Purchasing Power Parity in the Long Run: a Test of the Dollar/ Pound Exchange Rate (1890-1978),` Journal of Money, Credit and Banking 19 (1987), 376-87.
Enders, W., `ARIMA and Cointegration Tests of PPP Under Fixed and Flexible Exchange Rate Regimes,` The Review of Economics and Statistics 70 (August 1988), 504-508.
Engle, Robert F., and Clive W. J. Granger. `Cointegration and Error Correction: Representation, Estimation, and Testing.` Econometrica 55 (March 1987), 251-76.
Engle, Robert, and Sam Yoo, `Forecasting and Testing in Cointegrated Systems. ` Journal of Econometrics 35 (May 1987), 143-59.
Frenkel, J. A., `Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920s,` Journal of International Economics 8 (May 1978), 169-191.
Frenkel, J. A., `Flexible Exchange Rates, Prices and the Role of News: Lessons from the 1970s,` Journal of Political Economy 89 (August 1981), 665-705.
Fuller, Wayne, Introduction to Statistical Time Series. New York: John Wiley and Sons (1976)
Glen, Jack D., `Real Exchange Rates in the Short, Medium, and Long
Run.` Journal of International Economics 33 (1992), 147-66.
Hakkio, Craig S. and Mark Rush, `Cointegration: How short is the Long Run?,` Journal of International Money and Finance 10 (1991), 571-581.
Johansen, Soren. `Statistical Analysis of Cointegration Vectors.` Journal of Economic Dynamics and Control 12 (June/September 1988), 231-54.
Johansen, Soren, and Katarina Juselius. `Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money.` Oxford Bulletin of Economics and Statistics 52 (May 1990), 169-210
Johnson, D.R., `Cointegration, Error Correction and Purchasing Power Parity between Canada and United States,` Canadian Journal of Economics 23 (1990), 839-855.
Kugler, Peter and Carlos Lenz, `Multivariate Cointegration Analysis and the Long-Run Validity of PPP,` Review of Economics and Statistics 75 (February 1993), 180-184.
MacDonald, Ronald, `Long-Run Purchasing Power Parity: Is It for Real?` Review of Economics and Statistics 75 (November 1993), 690-695.
MacDonald, Ronald, `Long-Run Exchange Rate Modeling: A Survey of the Recent Evidence,` IMF Staff Papers 42 (September 1995), 437-489.
Mark, N., `Real and Nominal Exchange Rates in the Long Run: an empirical
Investigation,` Journal of International Economics 28 (February 1990), 115-136.
McNown, R., and M.S. Wallace, `National Price Levels, Purchasing Power Parity, and Cointegration: A Test of Four High Inflation Economies,` Journal of International Money and Finance 8 (December 1989), 533-545.
McNown, Robert, and Myles S. Wallace, `Cointegration Tests of the Monetary
Exchange Rate Model for Three High-Inflation Economies,` Journal of Money, Credit, and Banking 26 (August 1994), 396-411.
Mussa, Michael L., `A Model of Exchange Rate Dynamics,` Journal of political
Economy 90 (1982), 74-104.
Newey, W. and K. West, `A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation consistent Covariance Matrix,` Econometrica 55 (1987), 703-708.
Oh, Keun-Yeob, `Purchasing Power Parity and Unit Root Tests Using Panel Data,` Journal of International Money and Finance 15 (1996), 405-418.
Park, Joon Y., `Testing for Unit Roots and Cointegration by Variable Addition,` in Fomby, T.B. and G.F. Rhodes, Jr. (eds.) Advances in Econometrics 8 (1990), 107-134.
Phillips, Peter C. B. and Pierre Perron, `Testing for a Unit Root in Time Series Regression.` Biometrika 75 (June 1988), 335-46.
Phylaktis, Kate, `Purchasing Power Parity and Cointegration: The Greek Evidence from the 1920s,` Journal of International Money and Finance 11 (1992), 502-513.
Pippenger, Michael K., `Cointegration Tests of Purchasing Power Parity: The Gase of Swiss Exchang Rates,` Journal of International Money and Finance 12 (1993), 46-61.
Taylor, M. P., and P.C. McMahon, `Long-run Purchasing Power Parity in the 1920s,` European Economic Review 32 (January 1988), 179-197.
『국제경제연구』, 제1권 제1호, 국제경제학회, 1995.
이연호, `원화의 대미달러 환율은 구매력평가설을 따르는가?,`
『조사월보』, 대우경제연구소, 1993년 7월.
Adler, M. and B. Lehman, `Deviations from Purchasing Power Parity in the Long Run,` Journal of Finance 38 (1983), 1471-87.
Bahmani-Oskooee, Moshen and Rhee, Hyun-Jae, `Testing for Long Run Purchasing Power Parity: An Examination of Korean Won,` International Economic Journal 6 (Autumn 1992), 93-103.
Campbell, John Y. and Pierre Perron, `Pitfalls and Opportunities: What Macroeconomists Should Know About Unit Roots,` in NBER Economics Annual 1991, ed. by Olivier Jean Blanchard and Stanley Fischer (Cambridge: MIT Press, 1991).
Cheung, Yin-Wong and Kon S. Lai, `Long-Run Purchasing Power Parity During the Recent Float,` Journal of International Economics 34 (February 1993), 181-192.
Cheung, Yin-Wong and Kon S. Lai, `Finite-Sample Sizes of Johansen`s Likelihood Ratio Tests for Cointegration,` Oxford Bulletin of Economics and Statistics 55 (August 1993), 313-328.
Corbae, D. and Sam Ouliaris, `Cointegration and Test of Purchasing Power Parity,` The Review of Economics and Statistics 70 (August 1988), 508-511.
Davutyan, Nurhan, and John Pippenger, `Purchasing Power Parity Did Not
Collapse During the 1970`s,` American Economic Review 75 (December 1985), 1151-1158.
Dickey, David, and Wayne Fuller, `Distribution of the Estimators for Autoregressive Time Series with a Unit Root.` Journal of the American Statistical Association 74 (June 1979), 427-31..
Dickey, David, and Wayne Fuller, `Likelihood Ratio Statistics for Autoregressive Time Series With a Unit Root.` Econometrica 49 (July 1981), 1057-72.
Dornbusch, Rudiger, `Expectation and Exchange Rate Dynamics,` Journal of Political Economy 84 (December 1976), 1161-1176.
Edison, Hali J., `Purchasing Power Parity in the Long Run: a Test of the Dollar/ Pound Exchange Rate (1890-1978),` Journal of Money, Credit and Banking 19 (1987), 376-87.
Enders, W., `ARIMA and Cointegration Tests of PPP Under Fixed and Flexible Exchange Rate Regimes,` The Review of Economics and Statistics 70 (August 1988), 504-508.
Engle, Robert F., and Clive W. J. Granger. `Cointegration and Error Correction: Representation, Estimation, and Testing.` Econometrica 55 (March 1987), 251-76.
Engle, Robert, and Sam Yoo, `Forecasting and Testing in Cointegrated Systems. ` Journal of Econometrics 35 (May 1987), 143-59.
Frenkel, J. A., `Purchasing Power Parity: Doctrinal Perspective and Evidence from the 1920s,` Journal of International Economics 8 (May 1978), 169-191.
Frenkel, J. A., `Flexible Exchange Rates, Prices and the Role of News: Lessons from the 1970s,` Journal of Political Economy 89 (August 1981), 665-705.
Fuller, Wayne, Introduction to Statistical Time Series. New York: John Wiley and Sons (1976)
Glen, Jack D., `Real Exchange Rates in the Short, Medium, and Long
Run.` Journal of International Economics 33 (1992), 147-66.
Hakkio, Craig S. and Mark Rush, `Cointegration: How short is the Long Run?,` Journal of International Money and Finance 10 (1991), 571-581.
Johansen, Soren. `Statistical Analysis of Cointegration Vectors.` Journal of Economic Dynamics and Control 12 (June/September 1988), 231-54.
Johansen, Soren, and Katarina Juselius. `Maximum Likelihood Estimation and Inference on Cointegration with Applications to the Demand for Money.` Oxford Bulletin of Economics and Statistics 52 (May 1990), 169-210
Johnson, D.R., `Cointegration, Error Correction and Purchasing Power Parity between Canada and United States,` Canadian Journal of Economics 23 (1990), 839-855.
Kugler, Peter and Carlos Lenz, `Multivariate Cointegration Analysis and the Long-Run Validity of PPP,` Review of Economics and Statistics 75 (February 1993), 180-184.
MacDonald, Ronald, `Long-Run Purchasing Power Parity: Is It for Real?` Review of Economics and Statistics 75 (November 1993), 690-695.
MacDonald, Ronald, `Long-Run Exchange Rate Modeling: A Survey of the Recent Evidence,` IMF Staff Papers 42 (September 1995), 437-489.
Mark, N., `Real and Nominal Exchange Rates in the Long Run: an empirical
Investigation,` Journal of International Economics 28 (February 1990), 115-136.
McNown, R., and M.S. Wallace, `National Price Levels, Purchasing Power Parity, and Cointegration: A Test of Four High Inflation Economies,` Journal of International Money and Finance 8 (December 1989), 533-545.
McNown, Robert, and Myles S. Wallace, `Cointegration Tests of the Monetary
Exchange Rate Model for Three High-Inflation Economies,` Journal of Money, Credit, and Banking 26 (August 1994), 396-411.
Mussa, Michael L., `A Model of Exchange Rate Dynamics,` Journal of political
Economy 90 (1982), 74-104.
Newey, W. and K. West, `A Simple, Positive Semi-definite, Heteroskedasticity and Autocorrelation consistent Covariance Matrix,` Econometrica 55 (1987), 703-708.
Oh, Keun-Yeob, `Purchasing Power Parity and Unit Root Tests Using Panel Data,` Journal of International Money and Finance 15 (1996), 405-418.
Park, Joon Y., `Testing for Unit Roots and Cointegration by Variable Addition,` in Fomby, T.B. and G.F. Rhodes, Jr. (eds.) Advances in Econometrics 8 (1990), 107-134.
Phillips, Peter C. B. and Pierre Perron, `Testing for a Unit Root in Time Series Regression.` Biometrika 75 (June 1988), 335-46.
Phylaktis, Kate, `Purchasing Power Parity and Cointegration: The Greek Evidence from the 1920s,` Journal of International Money and Finance 11 (1992), 502-513.
Pippenger, Michael K., `Cointegration Tests of Purchasing Power Parity: The Gase of Swiss Exchang Rates,` Journal of International Money and Finance 12 (1993), 46-61.
Taylor, M. P., and P.C. McMahon, `Long-run Purchasing Power Parity in the 1920s,` European Economic Review 32 (January 1988), 179-197.
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