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선거와 시장경제Ⅱ-2000 국회의원 선거시장을 중심으로-
한경동(Kyungdong Hahn),신혁승(Hyukseung Shin),윤가원(Gawon Yoon) 한국경제연구원 2001 한국경제연구원 연구보고서 Vol.2001 No.-
This study is composed of three papers, which are related with the Political Stock Market to track the dynamics of election campaign, and to predict outcomes. One is a comprehensive and comparative review of the markets held in U.S.A., Canada, Australia, Sweden, Netherlands, Germany and Korea to find out factors to influence the function of the markets. The other one focuses on the 2000 Korean National Assembly Stock Market, secondly implemented in Korea by Assembly Stock Market, secondly implemented in Korea by Korea Economic Research Institute and Joongang Daily Newspaper after the 1998 Korean Presidential Market (KPSM). The predictions of the 2000 Korean National Assembly Stock Market was quite accurate to the outcome of the election. The forecasting errors were only 0.55~5.15% points to the Parties' actual vote shares. The third paper econometrically investigates the power of an unconventional Granger-causality test between opinion polls and political stock market prices implemented in Forsythe et al. (1992), through Monte Carlo simulations.
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Yoon, Gawon 釜山 大學校 經營 經濟 硏究所 1999 經營 經濟 硏究 Vol.18 No.1
Incorporating cointegrating relationships helps forecast cointegrated nonstationary variables. Little has been known, however, for the forecasting of the cointegrating relationship themselves, even though they are sometimes an interesting object of research; it is not clear whether better forecasts of cointegrating relationships are possible if cointegration is taken into consideration. In this paper, we forecast the spread between the six month US commercial paper and T-bill rates. While the two interest are nonstationary, their spread is stationary and is known to have some forecasting power for the future movements of economic activities. Four different information sets are considered in predicting the spread: A univariate information set of the present and past values of the spread, one with present and past values of the two interest rates composing a VAR process, the same bivariate system of interest rates with error correction model [ECMs]. and finally an ARX type model with common stochastic trends derived from ECMs as exogenous variables. It turns out that forecasts from VAR processes have the lowest root mean squared errors and dominate those from the ECMs and ARX type models. Therefore, the consideration of cointegrating relationship between the interest rates does not lead to improved forecasts of their spread. However, all the structural models are beaten by a naive forecast of no change, even though the spread is stationary. A shorter subsample period is also considered to test the robustness of the results. A possible explanation of the findings is provided.
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