The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Information Variables for the Predictability of Future Changes in Real Growth

실질 성장의 미래 변화 예측을 위한 정보변수

  • Kim, Tae Ho (Department of Information Statistics, Chungbuk National University) ;
  • Jung, Jae Hwa (Department of Information Statistics, Chungbuk National University) ;
  • Kim, Min Jeong (Department of Information Statistics, Chungbuk National University)
  • 김태호 (충북대학교 정보통계학과) ;
  • 정재화 (충북대학교 정보통계학과) ;
  • 김민정 (충북대학교 정보통계학과)
  • Received : 2012.12.14
  • Accepted : 2013.02.26
  • Published : 2013.04.30
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Abstract

It has been interested in developing useful information variables that are able to predict the future movement of final objects to attain the specific policy and strategic target. Term structure of interest rates is known as an important variable to predict future business and economic activity, yet there is little empirical work on the predictability of future changes in real output. This study attempts to develop the statistical model and examine whether domestic term structure of interest rates can predict variations of future cumulative changes in real growth on a long time horizon.

특정 정책이나 전략목표를 달성하는데 있어서 정부가 최종 목표에 직접 영향을 미치기는 어려워서 정책수단을 통해 간접적인 영향력만 발휘하게 되므로 최종 목표의 미래 동향을 예측할 수 있는 유용한 정보변수의 개발에 관심을 가지게 된다. 금리의 기간구조는 미래 경기 동향의 예측에 유용한 정보를 주는 것으로 알려져 있으나 이에 대한 연구는 아직 부족한 실정이다. 본 연구에서는 국내 장단기 금리차가 장기 시계에서 실질 성장의 누적변화를 유의하게 예측할 수 있는지 통계모형을 설정하여 분석해 보았다.

Keywords

References

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