중국 Term Spread의 다른 국가 실물경제 예측력 연구 -중국과의 경제동조현상이 강한 국가를 중심으로 = A study on predictability of real economy of other countries from China’s term spread -With a focus on the countries showing coupling of economies -

다국어 초록 (Multilingual Abstract)

Coupling of regional economies has recently been a noticeably apparent and in particular, the influence of Chinese economy on neighboring countries, especially Korea, Hong Kong and Taiwan, has been expanding. Given the circumstances, this study hypothesized that the China’s term spread, a factor shown to have particular predictive power in forecasting China’s economic and business cycle, may be able to predict the changes in real economies of the mentioned neighboring countries.
With regards to predictions in sample the results are as follows. In the case of Korea, the term spread of Korea has a significant predictive power in predicting the future real economy change in Korea. However, if the model factored in Chinese term spread as well, Chinese term spread appeared to have a superior informative and predictive power than did Korea’s term spread. In the case of Hong Kong, the domestic term spread had a significant predictive power since the fifth quarter, and the Chinese term spread appeared consistently to have a significant predictive power. When both were factored into the model, both domestic and China’s term spread were shown to have significant predictive power. That is, the addition of China’s term spread increased the predictive power of the model. In the case of Taiwan, the domestic term spread did not show significant predictive power. In contrast, it was observed that China’s term spread had a significant predictive power on the changes of the real economy of Taiwan.
With regards to predictions out of the sample the results are as follows. In the case of Korea, for both instances when the model was constructed using the term spread of Korea and China individually, and when the model was constructed using both Korean and Chinese term spread, the predictive power improve after the fifth quarter for the model constructed using China’s term spread only or when the China term spread was added to the Korean term spread. In the case of Hong Kong, when the model was constructed using the term spread of Hong Kong and China individually, the term spread of China has shown predictive power only in the fifth quarter, and in comparing the predictive power of term spread on Hong Kong alone as opposed to the term spread of both Hong Kong and China, the term spread of the latter has shown significantly better predictive power than the former since the fifth quarter. In the case of Taiwan, when the model was constructed using the term spread of Taiwan and China individually, the term spread of China has shown significantly better predictive power after the fourth quarter, and when the model was constructed using both the term spread of Taiwan and China, the model with the China term spread added had a better predictive power.

참고문헌 (Reference)

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