(155) * ** / / / / 1973 ~1974 1979 ~1980 1987 ~1989 * **
(156) 1990 2004 1997 1996 1980 / Spurious Regression Unit Root Test Cointergration TestVector Error Correction Model Granger / /
(157) Hedonic Price Method 1991 1991 3 2007 4 66 2001 1997 1 2007 4 52 19961998 1998 2000 TEJ 1 1 HO HN M1b M1b SAV CPI INT GDP GDP STOCK
(158) 2006 Sims 1980 Vector Autoregression, VAR VAR VAR 1 Wt a bw i t i t W t p p 1 a p 1 bi p K W t i K p W t i k t p 1 E t =0 E t ' t 0 E t s =0 t s VAR Engle and Granger 1987 1 VAR HO t q q EC i, t i=1,2,,q q p k 2 HO a a EC a X u t 0 i i, t 1 r, s r, t s t i 1 r 1 s 1 HOt a i X r,t-s i a r, s p k u t 2 HO t Johansen 1988 Ljung-Box Q Akaike 1973 AIC Akaike s Information
(159) Criterion Schwarz 1978 SC Schwartz Criterion EVIEWS / ADF Augmented Dickey-Fuller test Dickey and Fuller, 1981 ADF / VAR Granger 2 2 Granger H 0 F P 5.51149*** 0.00639 2.81277* 0.06811 1.96948 0.1486 5.06092** 0.00936 1.68995 0.19334 4.84792** 0.01124 0.61772 0.54262 3.4692** 0.03763 GDP 0.35567 0.70219 GDP 0.94827 0.39324 7.01362*** 0.00185 0.02757 0.97282 * 10%** 5%*** 1%
(160) 3-0.1934 19.34 3 t CointEq1-0.1934*** -3.42721 HO t 1-0.269778** -2.07112 HO t 2-0.095518-0.70319 HO t 3 0.021784 0.16151 M 1b t 1 15.41437*** 2.62064 M 1b t 2-2.036891-0.36440 M 1b t 3 15.15373*** 2.69578 SAV t 1-33.2601** -2.17762 SAV t 2-42.08327* -2.04905 SAV t 3-2.67557-0.21071 CPI t 1 0.171147 0.35928 CPI t 2-0.559818-1.19081 CPI t 3 0.496159 1.11583 INT t 1-110.1005-1.60574 INT t 2-43.60328-0.70526 INT t 3-25.59574-0.49144 STOCK t 1 0.061527* 1.86207 STOCK t 2 0.076713** 2.08253 STOCK t 3 0.002919 0.08013 Constant -1.823574** -2.52842 2 R 0.544649 * 10%** 5%*** 1% 4 81.35 68
(161) 32 4 HO M1b SAV CPI INT STOCK 1 100 0 0 0 0 0 2 81.35021 5.715665 0.416358 0.0347 0.693259 11.78981 3 71.3423 10.84801 3.926918 2.655256 0.59867 10.62884 4 70.50823 10.73371 4.518868 2.696331 0.881018 10.66184 5 68.86742 11.8489 4.589057 2.742525 1.390286 10.56182 6 68.47057 11.94332 4.96654 2.726277 1.404225 10.48907 7 68.17803 12.04698 4.9546 2.759759 1.572157 10.48847 8 68.07789 12.13129 4.985846 2.758206 1.57424 10.47253 9 68.0141 12.13559 4.996174 2.763934 1.620401 10.4698 10 67.95664 12.15968 5.031545 2.765215 1.623877 10.46304 11 67.95272 12.15809 5.030871 2.766896 1.628624 10.4628 12 67.93977 12.16697 5.029963 2.767235 1.634113 10.46195 13 67.9327 12.16573 5.038541 2.766918 1.635273 10.46083 14 67.92747 12.16661 5.042097 2.767469 1.636021 10.46033 15 67.92685 12.16708 5.04237 2.767462 1.636035 10.4602 16 67.92483 12.16718 5.043755 2.767409 1.636838 10.45999 17 67.92296 12.16701 5.046128 2.767394 1.636806 10.4597 18 67.92227 12.16688 5.047006 2.767446 1.636796 10.4596 19 67.92169 12.16691 5.047563 2.767423 1.636897 10.45952 20 67.92096 12.16679 5.048473 2.767397 1.63697 10.45941 Granger /
(162) 1987 12 / 5 / GDP GDP // / 5 / Granger H F P 0 / 4.96278** 0.01232 / 3.69934** 0.03431 / 4.30223** 0.0209 / 3.92464** 0.02846 / 2.03346 0.14525 / 2.15288 0.13048 / 1.56489 0.22264 / 1.9046 0.16319 GDP / 4.77774** 0.01426 / GDP 0.84649 0.43706 / 0.27796 0.75889 / 2.67946* 0.08189 * 10 ** 5%
(163) / 6 / / / / / / 6 / t- CointEq1 0.073913 3.84533 HN t 1 0.165259 0.86263 HN t 2-0.233531-1.31558 M 1b t 1 8.497327*** 2.58296 M 1b t 2 2.799082 0.81344 SAV t 1-30.80636** -2.17500 SAV t 2-11.95827-1.07577 GDP t 1 0.252397 0.41395 GDP t 2-0.495901-0.98055 STOCK t 1-0.053911** -2.32215 STOCK t 2-0.047014* -1.86027 Constant -0.47234-1.45424 2 R 0.627496 * 10 ** 5 *** 1 7 / 86.2 / / 5.4
(164) 7 / HN M1B SAV GDP STOCK 1 100 0 0 0 0 2 96.92612 1.285736 0.614656 0.284309 0.88918 3 89.481 4.461504 3.263968 0.33641 2.457118 4 87.37365 5.074444 4.493097 0.408213 2.650596 5 87.16176 5.066178 4.511783 0.597835 2.662446 6 87.03524 5.07737 4.503463 0.695729 2.688201 7 86.79203 5.157764 4.576335 0.754248 2.719621 8 86.73643 5.187807 4.57237 0.779838 2.723551 9 86.47006 5.309794 4.647054 0.828591 2.744503 10 86.44602 5.313674 4.663394 0.832807 2.744106 11 86.35102 5.343219 4.691608 0.869821 2.74433 12 86.33761 5.352565 4.69104 0.871547 2.747241 13 86.27693 5.369808 4.707105 0.897173 2.748987 14 86.262 5.382544 4.706235 0.89701 2.752212 15 86.22703 5.388669 4.721662 0.910338 2.752298 16 86.21837 5.395929 4.721799 0.910299 2.753605 17 86.2005 5.39914 4.727094 0.919579 2.753692 18 86.19125 5.406492 4.726834 0.920171 2.755259 19 86.1821 5.406768 4.731887 0.924228 2.755013 20 86.17628 5.410451 4.733001 0.924682 2.755585 Granger / / GDP / / / / / 86.2 /
(165) / 8 8 / GDP (1) / (2) / / (3) / (1) / (2) / (3) GDP / (4) / / (5) / / /
(166) / / / / / / / / / / / / / / / / / 1. 1998/- 15 4 643-664 2. 1996 7 1 35-56 3. 1998-5 4 51-71 4. 1997 硏
(167) 5. 2000 10 3 330-343 6. Akaike, H.,1973. Information Theory and the Extension of the Maximum Likelihood Principle, Second International Symposium on Information Theory, 267-281. 7. Dickey, D. A. and W. A. Fuller,1981. Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, Vol. 49,No. 4 1057-1072. 8. Engle, R. F. and C. W. J. Granger,1987. Cointegration and Error Correction Representation, Estimation and Testing, Econometrica, Vol. 55 251-276. 9. Granger, C. W. J.,1969. Investigating Causal Relations by Econometric Models and Cross-spectral Methods, Econometrica, Vol. 37, No. 3 424-438. 10. Johansen, S.,1988. Statistical Analysis of Cointegration Vectors, Journal of Economic Dynamics and Control, Vol. 12, Iss. 2-3 231-254. 11. Schwarz, G.,1978. Estimating the Dimension of a Model, The Annals of Statistics, Vol. 6, No. 2 461-464. 12. Sims, C. A.,1980. Macroeconomics and Reality, Econometrica, Vol. 48, No. 1:1-48.