동아시아국가들의실질환율, 순수출및 경제성장간의상호관계비교연구 : 시계열및패널자료인과관계분석

목차 I. 서론 II. 동아시아각국의무역수지, 실질실효환율및 GDP간의관계 III. 패널데이터를이용한 Granger인과관계분석 IV. 개별국실증분석모형및 TYDL을이용한 Granger 인과관계분석 V. 결론 참고문헌

I. 서론 - 1 -

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II. 동아시아각국의무역수지, 실질실효환율및 GDP 간의관계 1. 자료 - 5 -

2. 그래프를통한분석 - 6 -

< 그림 1> 동아시아각국의무역수지, 실질실효환율및 GDP 간의관계 (1) 한국 8.0 7.6 7.2.4.2.0 6.8 6.4 6.0 -.2 -.4 -.6 84 86 88 90 92 94 96 98 00 02 04 06 08 TB REER GDP (2) 말레이시아 7.4 7.2 7.0 6.8.4.3.2 6.6 6.4 6.2.1.0 -.1 -.2 92 94 96 98 00 02 04 06 08 TB REER GDP (3) 태국 3.2 3.0 2.8.4.2 2.6 2.4.0 -.2 -.4 1994 1996 1998 2000 2002 2004 2006 2008 TB REER GDP - 7 -

(4) 필리핀 2.8 2.6 2.4 2.2.8.4 2.0 1.8 1.6.0 -.4 -.8 1985 1990 1995 2000 2005 TB REER GDP (5) 인도네시아.8.4.0 9.4 9.2 9.0 8.8 8.6 8.4 8.2 8.0 -.4 (6) 홍콩 -.8 1994 1996 1998 2000 2002 2004 2006 2008 TB REER GDP 1.6 1.2.4 0.8.2 0.4.0 0.0 -.2 (7) 중국 -.4 84 86 88 90 92 94 96 98 00 02 04 06 08 TB REER GDP 1.2 0.8 0.4 0.0-0.4 8.5 8.0 7.5 7.0 6.5 6.0 5.5-0.8 82 84 86 88 90 92 94 96 98 00 02 04 06 TB REER GDP - 8 -

2. 상관계수분석 - 9 -

< 표 1> 무역수지, 실질실효환율및 GDP 간의상관관계계수 (1) 한국 (84Q1-09Q4) (2) 말레이시아 (91Q1-09Q4) (3) 필리핀 (81Q1-09Q4) (4) 중국 (81Q1-07Q1) (5) 홍콩 (84Q1-09Q4) (6) 인도네시아 (94Q1-09Q4) (7) 태국 (94Q1-09Q4) - 10 -

III. 패널데이터를이용한 Granger 인과관계분석 1. 분석의이론적기초 - 11 -

2. 패널데이터단위근검정 χ - 12 -

< 표 2> 패널데이터단위근검정 tb reer gdp - 13 -

< 표 2- 계속 > 패널데이터단위근검정 tb reer gdp 3. 패널데이터 VAR 및 Granger 인과관계분석 - 14 -

가. Granger 인과관계분석 - 15 -

< 표 3> 패널 VAR 의 Granger 인과관계분석결과 (LSDV 방식 ) - 16 -

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< 표 4> 패널 VAR 의 Granger 인과관계분석결과 (GMM 방식 : 2 lags) 나. 충격반응함수분석 - 18 -

< 그림 2> 패널충격반응함수 (GMM 방식 : 2 lags) - 19 -

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IV. 개별국실증분석모형및 TYDL 을이용한 Granger 인과관계분석 1. 벡터자기회귀 (VAR) 기본모형 - 21 -

2. TYDL 방법에근거한실증분석모형 - 22 -

3. Granger 인과관계분석 가. 단위근및공적분검정 - 23 -

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max max - 25 -

< 표 5-1> ADF 및 Phillips-Perron(PP) 단위근검정결과 : 수준자료 (level series) 1. Korea 2. Malaysia 3. Thailand 4. Philippines 5. Indonesia 6. Hong Kong 7. China - 26 -

< 표 5-2> ADF 및 Phillips-Perron(PP) 단위근검정결과 : 차분자료 (first difference series) 1. Korea 2. Malaysia 3. Thailand 4. Philippines 5. Indonesia 6. Hong Kong 7. China - 27 -

< 표 6> Johansen 공적분검정 Malaysia Hong Kong 나. 최적시차의결정 - 28 -

< 표 7> VAR 의최적시차결정 다. Granger 인과관계분석결과 - 29 -

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< 표 8> TYDL 방법을이용한 Granger 인과관계분석결과 Korea Malaysia Thailand Philippines - 31 -

< 표 8- 계속 > TYDL 방법을이용한 Granger 인과관계분석결과 Indonesia Hong Kong China - 32 -

< 그림 3> 개별국 Granger 인과관계圖示 (1) Korea (2) Malaysia GDP GDP TB REER TB REER (3) Thailand (4) Philippines GDP GDP TB REER TB REER (5) Indonesia (6) Hong Kong GDP GDP TB REER TB REER 7) China GDP 범례 (p-value) TB REER - 33 -

4. 충격반응함수분석 - 34 -

< 그림 4> 개별국충격반응함수 1) 한국 Response to Generalized One S.D. Innovations ± 2 S.E. Response of TB to TB Response of TB to REER Response of TB to GDP - - - - - - Response of REER to TB Response of REER to REER Response of REER to GDP - - - Response of GDP to TB Response of GDP to REER Response of GDP to GDP - - - - - - - - - - 35 -

2) 말레이시아 Response to Generalized One S.D. Innovations ± 2 S.E. Response of TB to TB Response of TB to REER Response of TB to GDP - - - - - - Response of REER to TB Response of REER to REER Response of REER to GDP - - - - - - Response of GDP to TB Response of GDP to REER Response of GDP to GDP.01.01.01 -.01 -.01 -.01 - - - 3) 태국 Response to Generalized One S.D. Innovations ± 2 S.E. Response of TB to TB Response of TB to REER Response of TB to GDP - - - Response of REER to TB Response of REER to REER Response of REER to GDP - - - - - - Response of GDP to TB Response of GDP to REER Response of GDP to GDP - - - - - - - 36 -

4) 필리핀 Response to Generalized One S.D. Innovations ± 2 S.E. Response of TB to TB Response of TB to REER Response of TB to GDP.12.12.12 - - - Response of REER to TB Response of REER to REER Response of REER to GDP - - - - - - Response of GDP to TB Response of GDP to REER Response of GDP to GDP.03.03.03.01.01.01 -.01 -.01 -.01 - - - 5) 인도네시아 Response of TB to TB Response to Generalized One S.D. Innovations ± 2 S.E. Response of TB to REER Response of TB to GDP.12.12.12 - - - Response of REER to TB Response of REER to REER Response of REER to GDP.15.15.15.10.10.10.05.05.05 -.05 -.05 -.05 Response of GDP to TB Response of GDP to REER Response of GDP to GDP - - - - 37 -

6) 홍콩 Response of TB to TB Response to Generalized One S.D. Innovations ± 2 S.E. Response of TB to REER Response of TB to GDP 0 0 0.015.015.015.010.010.010 5 5 5 0 0 0-5 -5-5 -.010 -.010 -.010 Response of REER to TB Response of REER to REER Response of REER to GDP - - - - - - Response of GDP to TB Response of GDP to REER Response of GDP to GDP.03.03.03.01.01.01 -.01 -.01 -.01 - - - 7) 중국 Response of TB to TB Response to Cholesky One S.D. Innovations ± 2 S.E. Response of TB to REER Response of TB to GDP.12.12.12 - - - Response of REER to TB Response of REER to REER Response of REER to GDP - - - - - - Response of GDP to TB Response of GDP to REER Response of GDP to GDP 0 0 0.015.015.015.010.010.010 5 5 5 0 0 0-5 -5-5 -.010 -.010 -.010-38 -

V. 결론 - 39 -

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참고문헌 - 41 -

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