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우리나라의 대미환율과 물가간의 인과관계분석 : Vector Autoregression Model을 이용한 분석
최범수,김태선 동국대학교 대학원 1993 大學院硏究論集-東國大學校 大學院 Vol.23 No.-
In this paper, I studied Causal relation between macroeconomic variables (Exchange Rate, Price) using Granger, Sims Causality and Vector Autoregression Model, considering stationarity between time-series. Recent research in macroeconomics has emphasized that most time-series have unit root, but essential assumption for time-series analysis is that the time-series have no unit root. Hence before we analyzes time-series regression, the unit roots test is necessary. Since VAR methodology heavily depends on the characteristics of time-series if these variales are non-stationary, this leads to incorrect statistical inference. So We did stationary test at first. Chapter II consists of definitions of Granger, Sims Causality and its test result, in Chaper Ⅲ and Ⅳ, the concepts of VAR (Block Exogeneity, Impuse Response Function, Variance Decomposition) is introduced, According the testing methods, its results had shown. In Chapter V, We presented the test conclusion based on unit root and analyzed the causal relations using VAR methodology as the technique of summering in Chapter Ⅲ In this thesis, Using Exchange Rate, Price, Export and Import in Korea economy from 1980:Jan to 1990:Feb and 1990:Mar to 1992:Dec, analyzed the characteristic of each period. The former period adopted multi currency basket pegging system and the latter is market average exchange rate period. The conclusion shows that the former period is that exchange is Granger Cause price, so exchange rate is exogeneity in that period. As Sims, exchange rate is exogenety samely. And exchange rate level is not caused by the domestic price variation, so the evidence that price is determined endogeneosuly is found. And the latter period is that exchange rate is endogeneity. And same results are provided in Impuse Response Function test, Variance Decomposition test.
CHOI,BUHMSOO 韓國計量經濟學會 1990 계량경제학보 Vol.1 No.-
Since 1970, the Federal Reserve System of the U.S. has changed its operating target twice. From October 1979 to September 1982, the FOMC chose unborrowed reserves instead of the federal funds as its operating target, ostensively in order to restrain the high inflation of the late 1970s. We document the fluctuations of interest rates with different maturities in that period were so abnormal that stationary linear relationships among them-which were apparent during other periods-could not be detected through the test for cointegration.