가격 변동의 특성과 통화정책의 효과

정욱영 국가안보전략연구원 2011 신안보연구 Vol.- No.171

Price rigidity is one of the most important and broad issues in macroeconomics. Proper estimation of price response is essential to evaluate and predict the sources of business cycles, as well as the effects of monetary policy on the economy. Recently active researches on this topic are emerging. This paper analyzes empirically price change properties and the effects of monetary policy focusing on 18 Korean manufacturing industries from 1970 to 2010 Main results of paper are the followings. First, asymmetry of price change shows significantly. Second, significant differences in price rigidity exists across industries. Third, persistences in inflation rate exists and difffers across industries. Fourth, there are positive correlation between the inflation rate and its variability and weak positive correlation between frequency of price change and inflation variability. Lastly, non-neutrality of monetary policy holds. There exists negative correlation between inflation rate and the effects of monetary policy. The correlation between inflation variability and the degree of non-neutrality is estimated to be mildly negative. price rigidity increases the effects of monetary policy weakly. 가격 경직성은 거시경제학에서 오래 동안 논쟁이 되어 왔던 중요한 주제이다. 최근이론과 실증적 측면에서 이에 관한 연구가 활발하게 진행되고 있으며 그 이유는 가격반응 정도에 대한 적절한 평가는 통화정책의 효과와 경기변동의 원인을 분석하는데 있어서 필수적이기 때문이다. 본 논문은 1970년부터 2010년까지 한국 18개 제조산업 자료를 이용하여 가격경직성을 포함한 가격변동의 특성과 통화정책의 효과를 실증적으로 분석하였다. 논문의 주요 분석 결과는 다음과 같다. 첫째, 가격 변동의 비대칭성이 뚜렷하다. 둘째, 산업별로 가격경직성에서 큰 차이가 있으며 가격상승 기간과 하락기간간에 강한 비대칭성이 존재한다. 셋째, 인플레이션의 지속성이 있으며 지속성의 정도는 산업별로 큰 차이가 있다. 넷째, 개별산업의 인플레이션의 변동성은 경제 전체보다 더 높게 나타났으며 산업별로 차이가 크다. 다섯째, 인플레이션율과 변동성은 양(+)의 상관관계가 있다. 가격변동 빈도와 변동성간에는 약한 양(+)의 상관관계, 가격변동 빈도와 지속성간에는 비교적 강한 양(+)의 상관관계, 그리고 가격변동 빈도와 인플레이션율과는 어느 정도 양(+) 상관관계가 있다. 지속성과 변동성은 약한 음(-)의 상관관계가 있다. 여섯째, 통화정책과 관련된 추정결과는 다음과 같다. 첫째, 통화정책의 비중립성이 성립한다. 인플레이션율과 통화정책의 효과는 음(-)의 상관관계가 있다. 셋째, 인플레이션의 변동성과 통화정책의 효과는 어느 정도 음(-)의 상관관계가 존재한다. 넷째, 인플레이션율의 지속성과 통화정책은 약한 양(+)의 상관관계가 있다. 다섯째, 가격경직성과 통화정책의 효과간의 관계는 약한 양(+)의 상관관계가 있다.

목표주가괴리율을 활용한 투자전략과 AFS기본변수의 정보성

신희정,최수영 한국회계학회 2022 회계저널 Vol.31 No.6

This study investigates whether AFS (Aggregate Fundamental Score), a summary measure of accounting information on financial statements, is useful in identifying valuation errors implicit in stock price targets of financial analysts. AFS is measured as a single score by aggregating the information of key accounting items (i.e., returns on net operating assets, growth of net operating assets, changes in asset turnover or profit margins, etc.) which have predictive power on future earnings. Prior literature documents that AFS is superior in the ability to predict future returns over that of financial analysts. Nonetheless, in practice, investors tend to make an investment decision by using analysts’ forecasts information, not based on financial statement information, and to experience corporate valuation errors in various forms. This motivates the study to verify the usefulness of AFS even in a certain practical investment strategy. This study aims to examine whether AFS has a different information from future price expectation based on target stock prices. Specifically, when an investment strategy is implemented using information based on the gap between the target stock price and the current stock price as a practical situation, the forecast errors are examined in comparison to the strategy based on AFS. In addition, the analysis is conducted to see if investment performance can be improved when AFS’s informativeness is additionally considered to stock price targets-based investment strategy. That is, postulating that the high target stock price gap rate where stock price targets are overestimated but markets perceive a current stock to be under-valued contains noise that distorts corporate value, the study examines whether such valuation error can be captured by AFS information. However, whether the AFS and the target stock price gap rate has differential information about the future stock price and returns is an empirical question. Thus, this study established a null hypothesis that the performance of the investment strategy based on the target stock price gap rate is not different from that of the investment strategy that additionally considers AFS information. To test the hypothesis, this study conducts regression analysis as well as portfolio test using 3,053 firm-year observations listed on the securities market (i.e., KSE) from 2005 to 2019. The results show that the target stock price gap rate and AFS have differential information a certain degree about the future return. The portfolio analysis reveals that the higher (lower) the level of AFS within the same group is, the higher (lower) the excess returns are. And, the result of hedging the portfolio with conflicting information of AFS shows the positive (+) excess returns. Furthermore, the results of investment using portfolios that match the direction (increase/decrease) of future returns implied by both AFS and target stock price gap show a positive (+) excess returns as well. These results are consistent with the regression analysis results and are maintained even in the case of analyzing excess returns after 3 or 5 years in long term perspective. And, those findings hold even after the endogeneity problem or cross-sectional and time-series correlations of data that could lead to distortion of estimates are controlled. This means that AFS has a different information from future price expectation based on target stock prices and the investment performance can be improved when AFS’s informativeness is additionally considered. In other words, AFS can help identify ex-ante valuation errors inherent in the target stock price, and that if used in practical investment strategies, it can achieve higher investment performance by providing supplementary information in predicting future returns. This study has several contributions by showing that the usefulness of the AFS variable, which has been dealt with from an academi... 본 연구는 재무분석가의 목표주가 예측치에 내재되어 있는 기업가치평가오류를 식별하는 수단으로서 회계정보의 요약치인 AFS의유용성을 검증한다. AFS는 미래이익을 예측하는 핵심적인 회계항목들의 정보성을 종합하여 단일변수화한 것으로서 미래수익률을 예측하는 능력에 있어서 재무분석가 예측치보다 우수한 것으로 보고되고 있다. 그러나 실무적 투자의사결정에 있어서 시장은 회계정보에근거하기 보다는 재무분석가의 예측치정보를 활용하는 경향이 높게 나타나며 여러 가지 형태로 기업가치평가오류를 나타내고 있다. 이에 본 연구는 실무적 상황으로서 재무분석가 목표주가와 현재주가의 괴리율(이하, 목표주가괴리율)에 근거하여 투자전략을 실행하는경우 AFS 회계정보가 미래수익률 예측에 있어서 목표주가와 차별적인 정보성을 지니는지 살펴보고자 한다. 아울러 AFS의 정보성을추가적으로 고려하는 경우 투자성과가 향상될 수 있는지 실증분석한다. 이는 특히 목표주가가 과대추정되어 나타나는 높은 목표주가괴리율이 기업가치를 왜곡하는 잡음(noise)을 내포하는 경우 AFS 정보성을 이용하여 이를 가려낼 수 있는지 분석하고자 하는 것이다. 본 연구는 2005년부터 2019년까지 유가증권시장에 상장된 기업-연도 3,053개를 대상으로 포트폴리오 분석 및 회귀분석하였다. 분석결과, 목표주가괴리율과 AFS는 각각 미래수익률에 대해서 서로 차별적인 정보성을 가지는 것으로 나타났다. 포트폴리오 분석 결과, 목표주가괴리율이 동일한 그룹 내에서 AFS의 수준이 높을수록(낮을수록) 상대적으로 더 높은(낮은) 매입보유초과수익률이 나타났으며, AFS의정보성이 상반되는 포트폴리오를 헷지(hedge)한 결과 양(+)의 초과수익률을 얻는 것으로 나타났다. 또한 기업가치평가에 있어서 AFS와목표주가괴리율이 함의하는 미래수익률에 대한 방향성(증가/감소)이 일치하는 포트폴리오들을 이용하여 헷지(hedge)한 결과에서도 양(+)의 초과수익률을 보이는 것으로 나타났다. 이러한 결과는 회귀분석 결과에서도 일관되게 나타났으며, 장기적 관점에서 3년 또는5년 후의 매입보유초과수익률을 분석하거나 추정치의 왜곡을 가져올 수 있는 내생성(endogeneity) 문제나 데이터의 횡단면 및 시계열적상관관계를 통제한 경우에도 유지되었다. 이는 AFS가 사전적으로 목표주가에 내재된 기업가치평가오류를 식별하는 데 도움이 될 수있으며 실무적 투자전략에 활용한다면 미래수익률 예측에 보충적 정보를 제공함으로써 보다 높은 투자성과를 얻을 수 있다는 것을시사한다. 본 연구는 궁극적으로 재무제표 상 회계정보의 기능을 통해 자본시장의 정보효율성을 높이고 시장의 합리적인 자원배분활동이 가능할 수 있다는 시사점을 제공한다. 아울러 지금까지 학술적 관점에서만 다루어져 왔던 AFS의 실무적 유용성을 제시함으로써자본시장에서 회계정보의 가치를 제고하는 데 기여할 것으로 기대된다.

다면적인 가격지각이 의복구매과정에 미치는 영향 : 구매태도 및 행동과의 관계를 중심으로

이규혜,이은영 대한가정학회 2002 Human Ecology Research(HER) Vol.40 No.9

The multi-faceted influence of price on consumers' purchasing process of apparel products: Relationships with attitudinal and behavioral variables Price has a significant relationship to clothing products not only because of its practical, emotional and symbolic attributes but also because of its wide range and frequent changes. The purpose of this study was to identify the multi-faceted influence of price on consumers' purchasing process of clothing products. Six types of price-perceptions were related to various attitudinal and behavioral variables in a clothing purchase. A questionnaire was developed and data were collected from 720 adult women living in Seoul. Factor analysis, multiple regression, t-test and canconical correlation were employed to analyze the data. Low price consciousness was negatively related to product-oriented aspects of clothing and effected the one-price sale, visiting public markets and using interpersonal sources of price information. Value for money consciousness was positively related to product-oriented aspects of clothing and consumers' age or marriage and effected price considerations at the on-purchase and post-purchase stage. Price-quality inference was related to product-oriented and market-oriented aspects of clothing while price-prestige inference was related to visual and symbolic aspects of clothing and effected normal-price purchasing. Sale proneness was related to market-oriented aspects of clothing and effected seasonal sale price purchasing and price mavenism was related to market-oriented and visual aspects of clothing and effected price considerations at the pre-purchase stage.

부동산 정책과 거시경제변수가 아파트 매매가격에 영향에 미치는 실증 연구

김태동 ( Kim Tae-dong ),김성후 ( Kim Sung-hoo ) 한국지역사회발전학회 2023 地域社會開發硏究 Vol.47 No.1

In this study, for the macro evaluation of the real estate policy of the Moon Jae-in government, micro- and macro-analysis were conducted using the apartment sale price as a dependent variable and COFIX interest rate, money supply, consumer price index, mortgage amount, and policy variables as independent variables. proceeded. As a result of the Granger causal relationship analysis, the apartment sale price appears to have an effect on policy variables and the consumer price index. This means that changes in real estate prices are closely related to real estate policies, and changes in assets caused by real estate prices can be linked with consumer prices. As a result of the shock response, the policy regulatory variable causes the apartment sale price to fall, and an increase in the money supply leads to an increase in the apartment sale price. In the case of interest rates, it was found that there was little direct effect on the rise of apartments due to the low interest rates, and the excessive amount of mortgages rather disturbed the market and had a negative effect on the sale price of apartments. Since the real estate market has a dynamic concept of economic and social aspects, a meticulous process of policy is required.

Vertical Price Transmission in U.S. Dairy Products

( Hye Young Kim ),( Ronald W. Ward ) 한국축산경영학회,농업정책학회(구 한국축산경영학회) 2013 농업경영정책연구 Vol.40 No.2

This study investigated U.S. dairy price linkages by focusing on vertical market differences with price regulation and market location for farm-to-wholesale and farm-to-retail with product differentiations for milk, butter, cheese, and ice cream. Price linkage models were estimated with least squared or instrument variables, depending on causal relations. In long-run responses, wholesale prices are 1.2 times as strongly linked to farm prices and adjust 2.5 time quicker than the prices of retailers. Asymmetric response in fluid mild prices indicate that wholesale prices more strongly reflect rising farm prices while retail prices more strongly reflect falling farm prices. Elasticity of farm share of retail price is more elastic than that of farm share of wholesale price.

Inflation and Intramarket Price Variability: Empirical Evidence from U.S. Food Products

( Jung Ho Baek ) 한국농촌경제연구원 2010 농촌경제 Vol.33 No.4

The objective of this paper is to examine the response of relative price variability on U.S. food markets to food price inflation to identify whether such inflation influences the structure of relative prices between different food products. Results show that changes in food price inflation rate have a strong positive effect on the structure at relative prices across food products. In addition, the expected rate of inflation is found to be more important than the unexpected components as a determinant of relative price variability.

INFLATION AND INTRAMARKET PRICE VARIABILITY: EMPIRICAL EVIDENCE FROM U.S. FOOD PRODUCTS

백정호 한국농촌경제연구원 2010 농촌경제 Vol.33 No.4

The objective of this paper is to examine the response of relative price variability on U.S. food markets to food price inflation to identify whether such inflation influences the structure of relative prices between different food products. Results show that changes in food price inflation rate have a strong positive effect on the structure of relative prices across food products. In addition, the expected rate of inflation is found to be more important than the unexpected components as a determinant of relative price variability.

가격변동이 소비자의 가격 공정성 지각에 미치는 영향에 대한 연구

황희중(Hwang, Hee-Joong) 대한경영학회 2011 大韓經營學會誌 Vol.24 No.2

거시경제변화에 따른 지역부동산 가격변화의 결정요인분석

이민희,채종훈 인문사회 21 2022 인문사회 21 Vol.13 No.5

Analysis of Determinants of Local Real Estate Price ChangesAccording to Macroeconomic ChangesMinhee Lee & Jonghun Chai Abstract: The purpose of this study was to predict the determinants of regional real estate price changes according to macroeconomic variables. For this purpose, descriptive statistical analysis, correlation analysis, and multiple regression analysis were performed. As a result of the analysis, among macroeconomic variables, consumer price had a common influence on regional housing price changes in the three regions. Consumer price, total money supply (M2), land price, and economic growth rate were common influencing factors in the metropolitan area and provincial area, but the magnitude of the influence was not. were different. In addition, it was found that regional housing prices respond sensitively to changes in real estate stimulus policies in the metropolitan area and metropolitan areas, while macroeconomic variables. Therefore, it was suggested that a differentiated real estate price policy should be implemented in consideration of regional characteristics. Key Words: Macroeconomic Variables, Real Estate Price Changes, Consumer Price, Land Price, Stimulus Policies 거시경제변화에 따른 지역부동산 가격변화의 결정요인분석이 민 희**ㆍ채 종 훈*** 연구 목적: 이 연구의 목적은 거시경제변수 변동에 따른 지역별 부동산 가격변화의 결정요인을 예측하고자 하였다. 연구 방법: 거시경제변수의 변화가 지역의 부동산가격 변동에 미치는 영향요인을 규명하기 위해 기술통계량분석, 상관관계분석, 다중회귀분석을 실시하였다. 연구 내용: 거시경제변수 중 소비자물가는 3개 지역 공통으로 지역의 주택가격변화에 영향을 주었으며 수도권과 도 지역은 소비자물가, 총통화량(M2), 지가, 경제성장률이 공통영향요인이었으나 영향력의 크기는 상이하였다. 결론 및 제언: 지역의 주택가격이 수도권과 광역시 지역은 거시경제변수에 도 지역은 부동산 부양정책의 변화에 민감하게 반응하는 것으로 나타났다. 따라서 지역간 특성을 고려하여 차별화된 부동산가격정책이 시행되어야 함을 제언하였다. 핵심어: 거시경제변수, 부동산가격변화, 소비자물가, 지가, 부양정책 □ 접수일: 2022년 9월 8일, 수정일: 2022년 9월 30일, 게재확정일: 2022년 10월 20일* 이 논문은 2019년 대한민국 교육부와 한국연구재단의 지원을 받아 수행된 연구임(NRF-2019S1A5B5A07107135). ** 주저자, 조선대학교 경제학과 강사(First Author, Lecturer, Chosun Univ., Email: with03033@naver.com)*** 교신저자, 조선대학교 경제학과 강사(Corresponding Author, Lecturer, Chosun Univ., Email: jonghunc@hanmail.net)

세종시 아파트 가격 영향에 관한 연구

이상용 ( Lee Sang-yong ),서채영 ( Seo Chae-young ) 한국지역사회발전학회 2021 地域社會開發硏究 Vol.46 No.1

The construction of Sejong City was carried out as a measure to secure the balanced development of the land and national competitiveness. The change in the spatial structure of Sejong City due to the dispersion of national administration is having an effect on the living space. In this study, in order to evaluate the influence on apartment sale price using regional characteristic variables, regional characteristics such as transaction volume, number of moving-in buyers, and consumer price index were considered, and regional characteristics were analyzed through interest rates and money supply of economic variables. As a result of the Granger causal relationship analysis, the apartment sale price in Sejong is affected by the transaction volume and the consumer price index. This can identify factors that are closely related to the formation of apartment prices in terms of the consumer price, which reflects transaction volume and psychological indices in regional characteristics. Result of Shock Response As a result of the shock response of Sejong City, transaction volume, consumer price index, interest rate, and money supply have a positive (+) effect on the initial apartment sale price, and have a continuous influence thereafter. However, the number of electrons has a negative (-) effect. In the case of Sejong City, it is necessary to conduct a study that separates real residents and investors, and it is necessary to improve predictability through continuous research on apartment prices.