The Korean Journal of Applied Statistics (응용통계연구)

The Korean Statistical Society (한국통계학회)
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Statistical testings for common stochastic trends in markets under recession

경기 침체기 시장의 공통확률추세 검정

  • Cho, Joong-Jae (Department of Information Statistics, Chungbuk National University) ;
  • Lee, Seung-Eun (Department of Information Statistics, Chungbuk National University) ;
  • Kim, Tae-Ho (Department of Information Statistics, Chungbuk National University)
  • 조중재 (충북대학교 정보통계학과) ;
  • 이승은 (충북대학교 정보통계학과) ;
  • 김태호 (충북대학교 정보통계학과)
  • Received : 2015.11.09
  • Accepted : 2016.03.08
  • Published : 2016.06.30
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Abstract

A long-run relationship of stock, monetary, realty markets, and business conditions has been suggested to exist due to internal and external shocks. This study investigates whether such a relationship really exists and then performs statistical tests to discern features of the long-run adjustment processes from short-run discrepancies because it is difficult to find studies that examine the market relationship. The comovement relationship of the whole market does not appear to hold for the entire study period; however, it is found to exist for the period before the financial crisis. Estimated error correction models show consistently declining equilibrium errors each period that suggests a recovering process of the long-run equilibrium from short-run secessions.

경기침체의 여파가 확산되면서 국내외 충격에 국내 주식, 금융, 부동산 및 실물시장이 함께 영향을 받는지에 대한 관심이 고조되어 왔으나 이에 대한 학문적 규명이 충분히 이루어지지 않고 있다. 본 연구에서는 이들 시장의 동반이동관계가 현실적으로 성립하는지, 그렇다면 어떠한 성향의 장기적 시장조정과정이 발생하는지 통계적으로 검정해 보았다. 시장의 장기적 연관관계는 금융위기 이전에 한해서만 성립되는 것으로 검정되며, 시장 간 장단기 동적 관계를 설명하는 오차수정모형들은 추정된 균형오차들이 모두 매 기간 통계적으로 유의하게 감소하면서 단기적 이탈에서 장기균형으로 조정되어 가는 과정을 일관성 있게 포착하는 것으로 판명되었다.

Keywords

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