• The Korean Journal of Applied Statistics
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• v.14 no.2
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• pp.273-287
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• 2001

90년대 말 이후 우리나라가 극심한 경제 불황을 겪으면서 구조조정을 c통한 시장기능의 회복에 관심이 집중되고 있다. Pigou에 의하면 소비함수를 통한 실질자산효과로 불황하에도 시장의 가격기구를 통해 장기균형에 달성이 가능하다는 것이다. 본 논문은 이와 같이 실질자산효과를 Phillips-Hansen의 FM-OLS 공적분추정으로 실증분석을 수행하였는데 분석결과에 의하면 우리나라의 경우 Pigou가 주장한 실질자산효과가 거의 없는 것으로 나타나 실질자산효과가 정책적으로 고려의 대상이 되는지의 여부는 충분히 검토되어야 할 것이다. 더구나 실질자산효과의 크기는 물가의 신축성의 정도에 따라 달라지는데 우리나라의 경우 물가의 신축성에 많은 제약이 있기 때문에 현실적으로는 실질자산효과가 더욱 축소되어 나타날 것으로 보인다. 결과적으로 실질자산효과에 의한 소비증가가 IS곡선을 이동시킬 만큼 충분치 못할 것으로 판단된다.

• Journal of the Korean Regional Science Association
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• v.33 no.2
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• pp.25-37
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• 2017

The paper is basically designed to investigate how regional consumption affects to regional income in Korea by introducing a model with panel cointegration, rational expectation and FM-OLS cointegration methodology. Empirical evidence reveals that the regional income could be stimulated by manipulating the regional consumption due to the fact that current regional consumption and first-lagged regional income are positively related to the level of regional income. Although there exists a possibility to increase the regional income which is associated with a spending multiplier in the group of regions with highly calculated MPC, but not in the groups of regions with middle and low calculated MPCs. To this end, it could be tentatively concluded that market-oriented system should be implemented elaborately to enable that the spending multipliers are appropriately operated in these two groups.

• The Korean Journal of Applied Statistics
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• v.18 no.3
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• pp.503-519
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• 2005

Cointegration test is usually performed under the assumption that the cointegrating vector is constant for the whole sample period. Most previous studies have used conventional cointegration methods in testing for a stable long-run equilibrium relation among related variables. However they have overlooked that the long-run equilibrium may not the unique and the stable relation may not be guaranteed. This study develops the additional statistical tests for the stability of the estimated cointegrating vector. Three tests for the parameter stability of a cointegrated regression model are utilized and applied to identify the types of variations in the long-run relation between the domestic unemployment and the rotated macroeconomic variables of interest. The present paper finds that, there exists a stable but, time-varying long-run relation between those. The observed variation in cointegrating relations is generally characterized by a discrete one-time shift, rather than a gradually evolving random walk process which is attributable to the IMF financial and economic crisis.