무역 및 금융연계성이 경기변동 동조성에 미치는 영향: 패널 연립방정식 접근 = The Impact of Trade and Financial Integration on Business Cycle Synchronization: A Panel Simultaneous Equation Approach

다국어 초록 (Multilingual Abstract)

As trade in goods and assets increases globally, trade and financial integration deepens, leading to more interdependence across countries. This study investigates the impact of trade and financial integration on business cycle synchronization. While East Asian countries have made much progress in trade integration among themselves, financial markets of individual East Asian countries have created closer linkages to the financial centers such as the U.S. and the U.K. The results in this paper can be applied to predict how the business cycles of Asian countries will shape in the future as this pattern of trade and financial integration continues. I adopt four estimation strategies: (i) independent equations with pooled cross-section data (ii) simultaneous equations with pooled cross-section data, (iii) panel independent equations, and (IV) panel simultaneous equations. In most previous studies, method (i) has been used to study independently the impact of trade or financial integration on business cycle synchronization. In contrast, Imbs (2004, 2007), by utilizing the simultaneity nature, examined both direct and indirect channels through which trade and financial integration impacts on the business cycle synchronization. While Imbs`` approach, i.e. method (ii), was more advanced than most other previous studies, it suffers from the fact that it did not control unobserved country specific effects. This study resolves the problem of Imbs`` approach by constructing panel data that enables to control country fixed effects. I report two panel regression results, based on independent equations (method (iii)) and simultaneous equations (method (IV)). Irrespective of estimation methods, my results suggest that trade integration strengthens business cycle synchronization. In contrast, the impact of financial integration on business cycle synchronization is not unambiguous: depending on the estimation methods, the impact is either positive or negative. However, if we restrict attention to the most desirable method (iv), there is no single case where the impact is positive and statistically significant. In most cases, the estimated impact of financial integration on business cycle synchronization is negative and statistically significant. The above results are consistent with the recent findings of Rose (2011) that the more countries are integrated financially with the global financial centers, the lower the negative impact of the global financial crisis on those countries. Hence it is likely that the negative business cycle impact of the global financial crisis on Asian countries is lower despite the fact that their financial integration with the financial centers is quite high, When I also examine the recent changes in business cycle synchronization between Korea and other Asian countries, it is strengthened with countries that trade more goods with Korea, while it is weakened with countries that trade less assets with Korea, confirming our results.

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