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      시계열 자료에서 불변하는 인과성 탐색: 원-달러 환율 데이터에 적용 = Invariant causal prediction for time series data: Application to won dollar exchange rate data

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      https://www.riss.kr/link?id=A107900920

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      다국어 초록 (Multilingual Abstract)

      Evaluating or predicting the effectiveness of economic policies is an important issue, but it is difficult to find an economic variable which causes a significant result because there are numerous variables that cannot be taken into account. A randomized controlled experiment is the best way to investigate causality, but it is not realistically possible to control through randomization and intervention in time series data such as macroeconomic data. Although some analysis methods have been proposed to find causality, the methods such as Granger causality method and Chow test are insufficient to explain causality. Recently, Pfister et al. (2019) proposed invariant causal prediction methods which can be applicable in time series data. In this paper, we introduce the method of Pfister et al. (2019) and use the method to find macroeconomic variables invariantly affecting the won-dollar exchange rate.
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      Evaluating or predicting the effectiveness of economic policies is an important issue, but it is difficult to find an economic variable which causes a significant result because there are numerous variables that cannot be taken into account. A randomi...

      Evaluating or predicting the effectiveness of economic policies is an important issue, but it is difficult to find an economic variable which causes a significant result because there are numerous variables that cannot be taken into account. A randomized controlled experiment is the best way to investigate causality, but it is not realistically possible to control through randomization and intervention in time series data such as macroeconomic data. Although some analysis methods have been proposed to find causality, the methods such as Granger causality method and Chow test are insufficient to explain causality. Recently, Pfister et al. (2019) proposed invariant causal prediction methods which can be applicable in time series data. In this paper, we introduce the method of Pfister et al. (2019) and use the method to find macroeconomic variables invariantly affecting the won-dollar exchange rate.

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      참고문헌 (Reference)

      1 박성욱, "대외자산 및 대외부채가 외환시장 유동성에 미치는 영향 분석" 한국국제금융학회 9 (9): 5-39, 2019

      2 Talih M, "Structural learning with time-varying components : tracking the cross-section of financial time series" 67 : 321-341, 2005

      3 He Z, "On spurious Granger causality" 73 : 307-313, 2001

      4 Granger CWJ, "Investigating causal relations by econometric models and cross-spectral methods" 37 : 424-438, 1969

      5 Pfister N, "Invariant causal prediction for sequential data" 114 : 1264-1276, 2019

      6 Granger CWJ, "Forecasting economic time series" Academic Press 1977

      7 Pearl J, "Causal Inference in Statistics: A primer" John Wiley & Sons 2016

      8 Gretton A, "A kernel statistical test of independence" 20 : 585-592, 2007

      1 박성욱, "대외자산 및 대외부채가 외환시장 유동성에 미치는 영향 분석" 한국국제금융학회 9 (9): 5-39, 2019

      2 Talih M, "Structural learning with time-varying components : tracking the cross-section of financial time series" 67 : 321-341, 2005

      3 He Z, "On spurious Granger causality" 73 : 307-313, 2001

      4 Granger CWJ, "Investigating causal relations by econometric models and cross-spectral methods" 37 : 424-438, 1969

      5 Pfister N, "Invariant causal prediction for sequential data" 114 : 1264-1276, 2019

      6 Granger CWJ, "Forecasting economic time series" Academic Press 1977

      7 Pearl J, "Causal Inference in Statistics: A primer" John Wiley & Sons 2016

      8 Gretton A, "A kernel statistical test of independence" 20 : 585-592, 2007

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      학술지 이력

      학술지 이력
      연월일 이력구분 이력상세 등재구분
      2027 평가예정 재인증평가 신청대상 (재인증)
      2021-01-01 평가 등재학술지 유지 (재인증) KCI등재
      2018-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2015-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2011-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2009-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2007-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2005-01-01 평가 등재학술지 유지 (등재유지) KCI등재
      2002-07-01 평가 등재학술지 선정 (등재후보2차) KCI등재
      2000-01-01 평가 등재후보학술지 선정 (신규평가) KCI등재후보
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      학술지 인용정보

      학술지 인용정보
      기준연도 WOS-KCI 통합IF(2년) KCIF(2년) KCIF(3년)
      2016 0.38 0.38 0.38
      KCIF(4년) KCIF(5년) 중심성지수(3년) 즉시성지수
      0.35 0.34 0.565 0.17
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